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Hi John R and others
I have been thinking about this
And have come to the conclusion the way IHMO AB calculates the buy/hold is
correct .
If on day 1 your buy and hold to end date this is the result
now if you wish to see how your indicator performs compared to buy/hold
You could run the scan 1 st then look for the 1st date that the afl signals
a buy then adjust your testing period to suit .
That way you would get a better picture of how it performed over the period
compared to buy/hold .
David
----- Original Message -----
From: "David Holzgrefe" <dtholz@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, June 06, 2001 10:04 AM
Subject: Re: [amibroker] Re: buy and hold results change
> John R
> I Think I follow you suggestion/ inquiry
>
> the Buy/hold starts the calculation from the first period in the range
> condition ,
> When if fact the AFL will may not start calculations for say xn periods
> after the date.
>
> Giving a unequal comparison ?
>
> an example would be ..
> we set our search for a cross over of a mov but because the stock in a
> steady up trend the mov afl is not triggered for several months when a
small
> pull back occurs ..trigging the afl but the buy/hold has started counting
> the returns from day 1 of the range period ..
>
> A valid point John I haven't look to confirm if this is the way AB does
the
> calculation.
> This would explain why its hard to best the buy/hold .
>
> included is a image of an example search
> some unexpected results maybe the sell = sell OR lastbar; doesn't get
> counted in the calculations for the afl ?
>
> Please excuse me if I'm barking up the wrong tree ( got it wrong)
> but I thought I would post a detailed answer so as newer ppl could get a
> hold on the question .
>
> range was set to 12 mth 06.06.2000 to06.06.2001
>
> TJ will know
>
>
> Regards David
>
>
> ----- Original Message -----
> From: "John R" <jrdrp@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Wednesday, June 06, 2001 8:40 AM
> Subject: Re: [amibroker] Re: buy and hold results change
>
>
> > IMO Buy & Hold calculations should be based on prices at start and end
> dates
> > of date range under test. Using date of first signal would not give
> results
> > which could be used to fairly compare different systems fairly. Consider
> for
> > example the case of a system which does not generate its' first buy
signal
> > until say 6 months into the period under test, during which stock has
> > already risen say 20%.
> >
> > John
> > ----- Original Message -----
> > From: <cliffelion@xxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Tuesday, June 05, 2001 3:12 PM
> > Subject: [amibroker] Re: buy and hold results change
> >
> >
> > > Hi David,
> > >
> > > I am using the same timeframe, stocks and analysis settings. When I
> > > change systems the analysis results change as expected - but so do
> > > the buy and hold results. I want to use the buy and hold as the
> > > baseline to compare the different systems so I'm not sure how to
> > > compare the systems when the buy and hold results change.
> > >
> > > AMI may be using the buy point of the system to start the buy and
> > > hold calculation - which means that the system is influencing the buy
> > > and hold.
> > >
> > > This may be OK - but I would be interested to know if there are other
> > > methods for comparing systems.
> > >
> > > Regards,
> > >
> > > Cliff
> > >
> > >
> > >
> > > --- In amibroker@xxxx, "David Holzgrefe" <dtholz@xxxx> wrote:
> > > > I'm not sure if I follow what you mean Cliff
> > > > But if you change the system triggers? then I would expect that the
> > > buy sell
> > > > condition would change.
> > > >
> > > >
> > > > Regards David
> > > >
> > > > ----- Original Message -----
> > > > From: <cliffelion@xxxx>
> > > > To: <amibroker@xxxx>
> > > > Sent: Tuesday, June 05, 2001 4:40 PM
> > > > Subject: [amibroker] buy and hold results change
> > > >
> > > >
> > > > > When I perform back tests over the same time period with the same
> > > > > stocks, I find that the buy and hold results change when I use
> > > > > different systems.
> > > > >
> > > > > I assume that this is because the buy and hold starts calculating
> > > > > when the system triggers a buy.
> > > > >
> > > > > Does anyone know if this is true???
> > > > >
> > > > > Thanks
> > > > >
> > > > > Cliff Elion
> > > > >
> > > > >
> > > > >
> > > > >
> > > > > Your use of Yahoo! Groups is subject to
> > > http://docs.yahoo.com/info/terms/
> > > > >
> > > > >
> > >
> > >
> > >
> > >
> > > Your use of Yahoo! Groups is subject to
> http://docs.yahoo.com/info/terms/
> > >
> > >
> >
> >
> >
> >
> > Your use of Yahoo! Groups is subject to
http://docs.yahoo.com/info/terms/
> >
> >
>
>
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
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