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Re: [amibroker] Backtesting reports



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hmm interesting discussions going on usualin the 
AB forum ,
 
There is yet to be a single software item that will 
cater to everyone needs or an individuals for that matter , often you will need 
several program to achieve all your desired tasks , ms ts ,behold , ab whatever 
.
 
But I have to say never have I found a developer 
that responds so quickly to users ideas and requests, try asking equils fora 
new item to be added to ms ..
 
one thing that could be handy is an indepth 
explanation/ tutorial for the backtest report most item are self explanatory but 
I'm sure there would be some users that are not familar with the reports I 
noticed a few items within the report that are grey areas to me ;




Exposure:
4.9%
 
Risk adjusted ann. return:

7.26%
 
And I would guess that there are other items that other 
users are scratching there heads at :)
 
regards David
 
 
 
<BLOCKQUOTE 
>
----- Original Message ----- 
<DIV 
>From: 
Tomasz Janeczko 

To: <A title=amibroker@xxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxxx 
Sent: Thursday, July 26, 2001 3:08 
AM
Subject: Re: [amibroker] Backtesting 
reports

Dear Bill,
 
> You will never be able to do such 
studies with a trendline tool with or without the Study function.  

First hint: Never say never. 
 
Second hint: you can do anything using JScript 
& VBScript. Lines could be represented as arrays of values
so there is no problem here.
 
I see that you are big advocate of WealthLab and 
this is good that the software has its advocates,
but I have the right to have my own opinion in 
the same way as you have the right to yours.
 
I am not blind and can see the advantages of 
WealthLab, but I can see also things that are bad.
Also, I am not just a programer, I trade the 
stocks also so I evaluate the features from BOTH
points of view. 
 
So, I will go my own way.
 
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: Wednesday, July 25, 2001 5:28 
PM
Subject: Re: [amibroker] Backtesting 
reports
<FONT face=Tahoma 
size=1>
Tomasz:
 
You are missing the point.  The DrawLine 
function does not exist because Wealth-Lab does not have manual drawing(but 
I would be surprised if that does not appear soon).  
Instead, with DrawLine and similar functions Gann, Fibonacci, 
and other line-type studies can be effected after calculating 
where the two points are.  The object then is to draw the lines between 
those two points.  You will never be able to do such studies with a 
trendline tool with or without the Study function.  For example, can 
you draw a Gann fan or Square of 9 with the trendline tool with anything 
approaching the required precision and accuracy?  Or, there are 
Fibonacci retracement levels and techniques that are not part of AmiBroker's 
canned indicators.  Can you draw those with a trendline?  Could 
you draw the Fibonacci retracements that are in AmiBroker by hand?  For 
trading purposes, not in a zillion years.  If you are not familiarwith 
these studies, I can suggest some references and provide somegif 
examples.  By the way, along the same lines there are similar 
functions such as DrawCircle for Fibonacci arcs, etc.  Bottom lineis 
that such functions are very valuable to users, reflecting their power and 
ease of use.
 
Hope this helps.  
 
Bill
 
 
<BLOCKQUOTE 
>
----- Original Message ----- 
<DIV 
>From: 
Tomasz 
Janeczko 
To: <A 
title=amibroker@xxxxxxxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxxx 

Sent: Wednesday, July 25, 20019:53 
AM
Subject: Re: [amibroker] Backtesting 
reports

Bill,
 
I guess DrawLine in Wealth Lab exists simply because there is NOway 
to simply DRAW the trend
line by hand in WealthLab. 
Speaking about easy of use:The line between two points can 
be simply drawn in AmiBroker. Take a trend line tool and draw.
No need for code. I guess this is much easier than writing the 
code for drawing a line!
Then you can use the lines drawn using study() AFL function 
as shown in the newsletter
<A 
href="">http://www.amibroker.com/newsletter/08-2001.html (Tip 
of the week: Using studies in your AFL formulas 
)
 
Best regards,
Tomasz Janeczko
amibroker.com
<BLOCKQUOTE 
>
----- Original Message ----- 
<DIV 
>From: 
<A title=wd78@xxxx 
href="">wavemechanic 
To: <A 
title=amibroker@xxxxxxxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxxx 

Sent: 25 July, 2001 15:03
Subject: Re: [amibroker] 
Backtesting reports

Tomasz:
 
FWIW, from a users viewpoint, there is an 
advantage to functions that combine other functions into a single 
entity.  Easy is good.
 
As for DrawLine, you have picked on oneof my 
favorites.  I am not aware that any combination of graphXY 
functions can draw a line between two user-defined points, at least 
not as easily as far as I can tell.  You have coded a number of 
indicators (e.g., ADX, etc.) that one can graph with graphN.  If I 
am smart enough, I guess that I could go the script route and develop 
new functions that could then be used with graphX.  I am not an 
expert programmer so to do so would be nice but would have to be a labor 
of love.  Being able to draw a line, including extending it into 
the future, between user-defined points would be a big deal 
that opens up the opportunity for a variety of line studies.  
Combining such a function with an Input function (especially if inputs 
can be done by pointing and clicking) opens a universe of line-type 
studies (e.g., Gann and Fibonacci) to be programmed, which is a bigdeal 
to some of us.  Not to be overlooked is the fact that DrawLine 
gets programming dummies like myself into business literally within 
minutes.  Sure, experts like yourself are up a running in the same 
amount of time with AFL, JScript, VBScript, etc., but as evidenced 
by the discussion on this board there are many in the "dummy" 
camp.  "Talking down" is not always 
bad.
 
Just my two cents.
 
Bill
 
----- Original Message ----- 
<BLOCKQUOTE 
>
<DIV 
>From: 
Tomasz 
Janeczko 
To: <A 
title=amibroker@xxxxxxxxxxxxxxx 
href="">amibroker@xxxxxx 

Sent: Wednesday, July 25, 2001 
2:57 AM
Subject: Re: [amibroker] 
Backtesting reports

Hello Bill,
 
What I wrote was my personal opinion, 
nothing more.
 
I had a chance to hear the opinions 
about AmiBroker from different people
and what I learned is that there is a 
very wide spectrum of different views
and preferences among T/A people. 
AmiBroker is not all about backtesting
(while WL seems to be). AmiBroker 
tries to satisfy these needs 
as much as possible. Unfortunatelly 
different needs are sometimes contrary
to each other.
This applies especially to the 
programing language.
One may say he would prefer a simpler 
language another one likes sophisticated
and very complicated tool. I like to 
code in C++ others like Basic, Pascal and do on.
I have my reasons, you can have 
yours.
 
That's why I am providing in fact 3 
alternatives: you may code your formula in
"pure" AFL, you can use JScriptor you 
can use VBScript. You can also mix
the languages in a single 
formula.
 
The AFL itself will be improvedfurther 
so you will be amazed someday :-)
 
To the details:
1. Yes, 
BuyAtStop and all trade control 
functions are nice, because
it is clearer to say BuyAtStop 
than doing buyprice, buy stuff together the right 
way.
 
2. GetDate, CumUp - I don't seeWL 
advantage here 
<FONT face=Tahoma 
size=2> 
3. I 
don't find any advantage of DrawLine and SetBar color since 
completely the same
could be done in AFL using graphX, 
graphXstyle, graphXbarcolor. All the difference
is that in WL you call a function while 
in AFL you assign a variable. I can add a function
that is called DrawLine and will 
internally assign the variables so there is no real 
difference,
... maybe except AFL can draw true Gann 
Swing charts (see AFL library)
while WL doesn't have square line style 
chart.
 
A bottom line:
Trade control in WL is better and nicer 
and I am willing to improve this functionality in 
AFL,
I like also the statistics in WL. I 
think that there are lots of nice ideas in WL to get an inspiration 
from.
And I really appreciate that you pointed 
out the things you like in WL- I 
learned something again.
 
All I dislike is a modal, 
Borland-looking (ugly icons on every button), bold-font everywhere 
user-interface.
This is however my personal opinion 
based on my personal taste. 
 
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@xxxxxxxx 

Sent: Wednesday, July25, 
2001 2:24 AM
Subject: Re: [amibroker] 
Backtesting reports

Tomasz:
 
Have to disagree to some extent.  As 
you note, the interface is a matter of personal preference, although 
I tend to side with Bernard.  However, and most importantly, 
from a "programming dummy" user's viewpoint, WealthScript might 
suffer from the problems that you note, but it is 
relatively clear with respect to trading system and drawing 
functions.  Perhaps it is not as efficient as AFL, but it is 
easy to build a system with commands like BuyAtStop, GetDate, CumUp, 
etc., with only a couple of tutorials as a guideline.  And 
being able to incorporate drawing functions (e.g., DrawLine, 
SetBarColor, etc.) in a straightforward manner is great, although 
more is needed in this area (to be expanded in version 2 according 
to WL).  Definitely an attempt to produce a user-friendly 
programming environment.  Easy to use, "intuitive" system and 
drawing functions are arguably essential endpoints.  So 
much the better, if these attributes can be further enhanced with 
respect to speed and simplicity, and placed within the AmiBroker 
setting.  Or so it seems to this programming 
dummy.
 
Bill
<BLOCKQUOTE 
>
----- Original Message ----- 
<DIV 
>From: 
Tomasz 
Janeczko 
To: <A 
title=amibroker@xxxxxxxxxxxxxxx 
href="">amibroker@xxxxxxxxxx 

Sent: Tuesday, July 24, 2001 
4:44 PM
Subject: Re: [amibroker] 
Backtesting reports

Dear Bernard,
 
Thank you for your 
opinion.
I have downloaded a trial version of 
WealthLab desktop and had a look at it. 
Frankly speaking I don't like its 
user interface - but this is my private opinion.
What I like are extensive 
back-testing statistics. These I would like to see
in AmiBroker.
As for the WealthScript I find it 
quite complicated. You have to have at 
least
3-4 times more code than inAFL to 
do the same thing.
Also - I tried to check very 
basic MA crossover system and wanted to simulate
trading using 100% capital and 
WealthLab displayed very strange equity curve
(with negative cash amounts). What's 
more WealthScript seems to be very slow.
 
As for optimization: yes I will 
include optimization in 3.7, this will include
multiple-security 
optimization.
By the way: it seems that you can 
only optimize for one stock in WealthLab, is it true?
 
Anyway, some ideas are worth 
implementing.
 <FONT face=Tahoma 
size=2>
Best regards,Tomasz 
Janeczko===============AmiBroker - the comprehensive share 
manager.<A 
href="">http://www.amibroker.com
<BLOCKQUOTE 
>
----- Original Message ----- 

<DIV 
>From: 
<A title=bernard@xxxx 
href="">Bernard Bourée 
To: <A 
title=amibroker@xxxxxxxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxx 

Sent: Tuesday, July 24, 
2001 7:17 PM
Subject: Fw: [amibroker] 
Backtesting reports

 

Dear Tomasz
 
 I have a doubt if mymessage 
was published since I can't see it and in fact I haven't 
finished it. So here it is completed.
 
Well I like the following feature 
(in the desktop version):
 
-A window where you can easily find 
the systems/commentary classified in folders and sorted by name 
or date etc.
-The ChartScript window, the 
equivalent of the AB main window, have some TAB where you can 
very easily evaluate a TS : The first one show the performance, 
the second the list of the trades, then one for the alerts,one 
for the text of the TS, one for optimisation (I hope that you 
will implement it in AB soon), an other one called MonteCarlo (I 
guess it is to make more complex optimisation using the Monte 
Carlo method), the last one is called Analysis Var but I don't 
know what it is.
 
They have also a window where you 
can select  the trading systems, run them on a watchlist 
and perform a ranking of the performances..
 
You can download the desktop 
version for a free trial period and have a good idea of the 
product.
It is much more expensive than AB 
but you have given to us the proof that you can easily compete 
with such products.
 
In fact more I try to finda good 
trading systerm more I came to the conclusion that there isnot 
one good trading system but we have to find for each 
period of time, for each market and perhaps for each stock one 
good TS which could have to be changed and adapted as soon as 
the market conditions move.
This means that we need tohave a 
tool that allow us to optimize and compare a bunch of TS 
periodically.
So I whish that AB could help us in 
this task and allow to adapt  and optimise our TS 
easily.
For this Tomasz it would be nice if 
we could more easily change the parameters of the TS or the 
charts with contextual menus intead of having to write AFL 
codes.
 
Best regards
 
Bernard Bourée<A 
href="">bernard@xxxx
<BLOCKQUOTE 
>
----- Original Message ----- 

<DIV 
>From: 
<A title=amibroker@xxxx 
href="">Tomasz Janeczko 
To: <A 
title=amibroker@xxxxxxxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxx 

Sent: Monday, July23, 
2001 9:50 PM
Subject: Re: [amibroker] 
Backtesting reports

Dear Bernard,
 
Could you please tell me what 
exactly do you like in WL's user interface?
 
Best regards,Tomasz 
Janeczko===============AmiBroker - the comprehensive 
share manager.<A 
href="">http://www.amibroker.com
<BLOCKQUOTE 
>
----- Original Message 
----- 
<DIV 
>From: 
<A title=bernard@xxxx 
href="">Bernard Bourée
To: <A 
title=sentto-1010692-2837-995838278-bbouree=fairesuivre.com.at.returns.onelist.com@xxxx 
href="">sentto-1010692-2837-995838278-bbouree=fairesuivre.com.at.returns.onelist.com@xxxx 
; <A title=amibroker@xxxxxxxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxxxx 

Sent: Monday,July 
23, 2001 7:18 PM
Subject: Re: 
[amibroker] Backtesting reports

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: 
<A title=tj@xxxx 
href="">Tomasz Janeczko 
To: <A 
title=amibroker@xxxxxxxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxxxxxx 

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: 
<A title=wd78@xxxx 
href="">wavemechanic 
To: <A 
title=amibroker@xxxxxxxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxxx 

Sent: Saturday, 
July 21, 2001 10:24 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: 
<A title=tj@xxxx 
href="">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 inmy 
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

<FONT 
size=2>Tomasz:
<FONT 
size=2> 
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.
<FONT 
size=2> 
The following link lists 
the system evaluation parameters used by 
Wealth-Lab:
<FONT 
size=2> 
<A 
href="">http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?page=$imOverview.htm
 
Bill
 
----- Original Message ----- 
<BLOCKQUOTE 
>
<DIV 
>From: 
<A title=tj@xxxx 
href="">Tomasz Janeczko 

To: <A 
title=amibroker@xxxxxxxxxxxxxxx 
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?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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