|
PureBytes Links
Trading Reference Links
|
Hello,
A big THANK YOU to all those of you submitting the ideas.
I really appreciate this.
Some ideas already made their way to version 3.64
Best regards,
Tomasz Janeczko
===============
AmiBroker - the comprehensive share manager.
http://www.amibroker.com
----- Original Message -----
From: "John R" <jrdrp@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, July 22, 2001 12:58 AM
Subject: Re: [amibroker] Backtesting reports
> 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
> >
> >
> >
> >
> >
> > Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
> >
> >
>
>
>
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
>
|