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Re: [amibroker] Backtesting reports



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Hello Tomasz
 
Yes, there is some good ideas to use in terms of 
agronomy (windows design and parameters settings).
 
Regards
Bernard Bourée<A 
href="">bernard@xxxx
<BLOCKQUOTE 
>
----- Original Message ----- 
<DIV 
>From: 
Tomasz Janeczko 

To: <A title=amibroker@xxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxxx 
Sent: Sunday, July 22, 2001 11:21 
PM
Subject: Re: [amibroker] Backtesting 
reports

Hi,
 
WealthLab is nice. I am curious how 
long will they be free.
I found some interesting ideas 
there... 
 
Best regards,Tomasz Janeczko===============AmiBroker - the 
comprehensive share manager.<A 
href="">http://www.amibroker.com
<BLOCKQUOTE 
>
----- Original Message ----- 
<DIV 
>From: 
wavemechanic 

To: <A 
title=amibroker@xxxxxxxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, July 21, 200110:24 
PM
Subject: Re: [amibroker] Backtesting 
reports

Tomasz:
 
How about entry to lowest trough = trade 
drawdown
 
Did you notice the script functions listed on the 
Wealth-Lab site?  Is that where AB is headed?
 
Bill
<BLOCKQUOTE 
>
----- Original Message ----- 
<DIV 
>From: 
Tomasz 
Janeczko 
To: <A 
title=amibroker@xxxxxxxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxxx 

Sent: Saturday, July 21, 2001 4:20 
PM
Subject: Re: [amibroker] Backtesting 
reports

Hello,
 
Thank you for the information.
BTW, here is a definition of Max. Intraday 
drawdown from wealthlab:

"Max IntraDay Drawdown
This value represents the greatest peak to trough distance 
in your equity curve.  Beware of Systems that have a high Drawdown 
value."
This is exactly what I meant in my previous e-mail: 
"greatest peak to trough distance".
Now: how should we call entry to lowest trough distance ( 
a drawdown measure already present in AmiBroker) ??
Best regards,Tomasz Janeczko===============AmiBroker - the 
comprehensive share manager.<A 
href="">http://www.amibroker.com
<BLOCKQUOTE 
>
----- Original Message ----- 
<DIV 
>From: 
<A title=wd78@xxxx 
href="">wavemechanic 
To: <A 
title=amibroker@xxxxxxxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxxx 

Sent: Saturday, July 21, 2001 
9:18 PM
Subject: Re: [amibroker] 
Backtesting reports

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@xxxxxxxxxxxxxxx 
href="">amibroker@xxxxxx 

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?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 
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 
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