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Hi John,
This would be some solution :-) Thanks for the suggestion.
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 11:15 PM
Subject: Re: [amibroker] Re: buy and hold results change
> 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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