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Hello Tomasz,
Here are some suggestions for backtesting etc. as you requested.
1. On the Backtest Report add heading info/heading page to the report so
that user can identify date and time report was run plus details of all the
relevant settings affecting report content i.e. date range, AFLs, filters
...etc. (i.e. *all* the information necessary to exactly reproduce Backtest
Report should be included here). Currently when you come back to review
saved reports it is impossible to tell how they were generated.
2. All relevant Backtest Report statistics need to be split by long and
short so that we can easily evaluate performance on both sides. I know you
can test both sides separately but this will not give the true picture of a
system designed to trade both ways. Combined statistics are of course still
important.
3. Additional performance statistics:-
Max Drawdown %
Average Drawdown %
Max Profit/Loss %
Max Profit/Loss amount
Average Win/Loss %
Average no. trades per year
% of time in/out of the market
Reward/Risk ratio = (no. winning trades*average profit)/(no. losing trades*
average loss)
4. On the Trade List section of Backtest Report the following additional
information would be useful:-
No. days in trade
Entry price
Exit price
Exit type (target, stop loss, AFL, ...)
Capital used for trade
5. Equity Curves.
I know it's not exactly a Report Statistic but equity curve data is
generated at Backtest time. It would be extremely useful to have a simple
integrated AB facility to plot selected mutiple system test equity curves
results for easy comparison.
Thanks for a great product and being so receptive to user suggestions.
John
----- Original Message -----
From: "Tomasz Janeczko" <tj@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, July 21, 2001 5:00 PM
Subject: [amibroker] Backtesting reports
> Hello,
>
> I would like to ask you:
> What additional back-testing statistics would you like to see in
AmiBroker?
>
> Please give 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 dip from the trade entry)
>
> - Bars out of market
>
> I have got already some of your earlier suggestions
> but anyone has something more?
>
> Best regards,
> Tomasz Janeczko
> ===============
> AmiBroker - the comprehensive share manager.
> http://www.amibroker.com
>
>
>
>
>
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>
>
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