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HMM Im a little comfused now !!
----- Original Message -----
From: "Tomasz Janeczko" <amibroker@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, June 06, 2001 4:47 PM
Subject: Re: [amibroker] Re: buy and hold results change
> Hi.
>
> I am sorry for not answering this question for some days but
> I was really busy working on the new version.
> Now to the buy/hold performance calculation -
> your guesses are somewhat wrong:
> it does take first and the last day of the period
> specified (either by dates or number of quotes).
> It does not care about when the first signal in your
> formula appears.
thats what I though our / my conclusion was
> There is one exception however - if your formula
> does NOT generate ANY trade within specified
> period - buy and hold result for that stock is
> not counted at all. It means when you back test 10 stocks
> and your formula generates trades for 9 stocks but
> no trade for 1 stock - overall buy and hold results will
> be calculated also for that 9 stocks.
>
> Note: from version 3.6 buy and hold results are calculated
> using buyprice and sellprice arrays so if your formula
> assigns the values dynamically to this arrays or you
> change the settings of fields used for buy/sell in analysis
> settings - this will affect buy/hold results.
as in buy sell delays ?
>
> So general formula for buy /hold is:
>
> firstbar = the first quote choosen by you in "Range" settings
> lastbar = the last quote choosen by you in "Range" settings
>
> if( anytrades )
> {
> BuyHoldProfit = SellPrice[ lastbar ] - BuyPrice[ firstbar ]
> }
>
>
>
> As a proof take the following three formulas:
> 1.
>
> buy = cum(1)== 30;
> sell = cum(1 ) == 120;
>
> 2.
> buy = cum(1)== 50;
> sell = cum(1 ) == 110;
>
> 3.
> buy = cum(1)== 60;
> sell = cum(1 ) == 90;
>
> If only you have enough quotes > 120 and you select the range
> that bar 30 and 120 is within the range (all quotations for example will
do)
> the buy/hold result remains the same regardless of moving entry/exit dates
> of the formula
I cant quite follow what the example means TJ ?
>
>
> Best regards,
> Tomasz Janeczko
> ===============
> AmiBroker - the comprehensive share manager.
> http://www.amibroker.com
>
> ----- Original Message -----
> From: "Tom McDaniel" <tmtempe@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Wednesday, June 06, 2001 7:13 AM
> Subject: Re: [amibroker] Re: buy and hold results change
>
>
> > David-
> >
> > There may not be a perfect solution. If it takes 6 months for the first
buy
> > signal to be generated by the system under test and the buy/hold has
already
> > appreciated significantly I think that seems important to know in doing
a fair
> > comparison to buy/hold.
> >
> > Further, I think the original question related to comparing two systems
that had
> > different times for the first signal, say three months and six months.
By your
> > method they each have a different buy/hold value that they are measured
against
> > -- even though, I believe, they are really measured against the exact
same data
> > set.
> >
> > For rigorous analysts, one should not start an analysis until the date
when all
> > indicators or devices (e.g. moving averages, etc., if they are used)
have "grown
> > in" to correct values.
> >
> > In summary, I would like for the buy to take place on the date that I
set as the
> > start date and the end date to be the final price for calculation
purposes. For
> > each analysis over the same time period the buy/hold would provide the
same
> > result regardless of when the first system trade takes place.
> >
> > Regards,
> > -Tom McDaniel
> >
> > David Holzgrefe wrote:
> >
> > > 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
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
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