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Hi Tomasz,
Thanks for your explanation. Reading it leads me to a suggestion (I bet you
wish you'd kept quiet!):-
How about considering adding a user defined AFL formula facility to the
Filter screen. This would not only solve the Buy & Hold calculation problem
but also be extremely useful in a wider sense becuase it would enable filter
AFLs to be separated out from trading rules AFLs , with all the consequent
benefits.
Regards
John
I would suggest it would be usefucan see now why you do it this way. It
seems to me would
suggestdl like to su
e explanation. Would it be owoI can see now why you have this
----- Original Message -----
From: "Tomasz Janeczko" <amibroker@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, June 06, 2001 8:39 PM
Subject: Re: [amibroker] Re: buy and hold results change
> Hello,
>
> There is a very good reason to do so.
>
> Let me explain: it happens quite often that the formula uses some
> filters to EXCLUDE some stocks. For example you may want to exclude
> penny stocks (with prices below $5) and those with very small liquidity:
>
> buy = your_trading_system_buy AND close > 5 AND volume > 10000
>
> As such filter can not be applied in any other way (Filter window allows
> only filters on markets, groups, sectors, industries, watch lists,
favourites and indexes)
> you need to embody it into trading rule.
>
> In that case it wouldn't be wise to consider those excluded stocks
> in B&H profit calculations because you just don't care about them and you
> want to filter them OUT.
>
> Another example is the formula that filters only "true" stock symbols of
Australian
> Stock Exchange - they are all 3 letters long:
>
> buy = your_trading_system_buy AND strlen( name() ) == 3;
>
> In that case you don't want other symbols to influence your system test
results.
>
> This is the reason why I decided to implement such exception.
>
> Best regards,
> Tomasz Janeczko
> ===============
> AmiBroker - the comprehensive share manager.
> http://www.amibroker.com
>
>
> ----- Original Message -----
> From: "John R" <jrdrp@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Wednesday, June 06, 2001 2:11 PM
> Subject: Re: [amibroker] Re: buy and hold results change
>
>
> > Hi Tomasz,
> >
> > Why does AB treat the no trades on a stock condition as an exception
when
> > calculating B&H?
> >
> > If for example a trading system fails to generate any long trades during
the
> > test period when in fact the stock has risen considerably during that
test
> > period then surely the performance measurement of the system should
reflect
> > this (i.e.system has lost out compared to Buy & Hold strategy).
> >
> > Regards
> > John
> > ----- Original Message -----
> > From: "Tomasz Janeczko" <amibroker@xxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Wednesday, June 06, 2001 7:47 AM
> > 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.
> > > 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.
> > >
> > > 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
> > >
> > >
> > > 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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