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Tomasz:
Since you will have maximum drawdown, I suggest
including Risk-Adjusted Return (RAR). This is a standard system evaluation
metric that divides a risk measurement by the annualized rate of return.
You could use maximum drawdown as the risk measurement, but other measures
(volatility, standard deviation, etc.) would also work.
The following link lists the system evaluation
parameters used by Wealth-Lab:
<A
href="">http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?page=$imOverview.htm
Bill
----- Original Message -----
<BLOCKQUOTE
>
<DIV
>From:
Tomasz Janeczko
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, July 21, 2001 12:00
PM
Subject: [amibroker] Backtesting
reports
Hello,I would like to ask you:What additional
back-testing statistics would you like to see in AmiBroker?Pleasegive
me your suggestions with the description.For version 3.64 already
included are:- Annual system percentage profit- Annual B&H
percentage profit- Maximum drawback calculated from maximum equity
value to the minimum equity value (BTW: How to name this
one? I have no idea) (note this is different from current max.
drawback calculation which computes max. equity dipfrom
the trade entry)- Bars out of marketI have got already some of
your earlier suggestionsbut anyone has something more?Best
regards,Tomasz Janeczko===============AmiBroker - the
comprehensive share manager.<A
href="">http://www.amibroker.com Your
use of Yahoo! Groups is subject to <A
href="">http://docs.yahoo.com/info/terms/
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