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Re: [amibroker] Backtesting reports



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David:
 
Thank you. I will write the explanations to the 
new items in the report soon.
I hope I can soon concentrate on more productive 
tasks .....
 
Best regards,Tomasz Janeczko===============AmiBroker - the 
comprehensive share manager.<A 
href="">http://www.amibroker.com
<BLOCKQUOTE 
>
----- Original Message ----- 
<DIV 
>From: 
David 
Holzgrefe 
To: <A title=amibroker@xxxxxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxxx 
Sent: Wednesday, July 25, 2001 10:26 
PM
Subject: Re: [amibroker] Backtesting 
reports
<FONT face=Tahoma 
size=1>
hmm interesting discussions going on usual in 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 what ever .
 
But I have to say never have I found a developer 
that responds so quickly to users ideas and requests, try asking equils for a 
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%
<FONT face=Arial 
size=2> 
And I would guess that there are other items thatother 
users are scratching there heads at :)
 
regards David
 
 
 
<BLOCKQUOTE 
>
----- Original Message ----- 
<DIV 
>From: 
Tomasz Janeczko 

To: <A title=amibroker@xxxxxxxxxxxx 
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: 
<A title=wd78@xxxx 
href="">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 familiar with these studies,I 
can suggest some references and provide some gif examples. By 
the way, along the same lines there are similar functions such as 
DrawCircle for Fibonacci arcs, etc.  Bottom line is that such 
functions are very valuable to users, reflecting their power and easeof 
use.
 
Hope this helps.  
 
Bill
 
 
<BLOCKQUOTE 
>
----- Original Message ----- 
<DIV 
>From: 
Tomasz 
Janeczko 
To: <A 
title=amibroker@xxxxxxxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxxx 

Sent: Wednesday, July 25, 2001 9:53 
AM
Subject: Re: [amibroker] 
Backtesting reports

Bill,
 
I guess DrawLine in Wealth Lab exists simply because there is NO 
way 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@xxxxxx 

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 one of 
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 big deal 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 timewith 
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@xxxxxxxx 

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 asimpler 
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 JScript or you 
can use VBScript. You can also mix
the languages in a single 
formula.
 
The AFL itself will be improved 
further so you will be amazed someday :-)
 
To the details:
1. <FONT face=Tahoma 
size=2>Yes, BuyAtStop andall 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 see WL 
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 drawtrue 
Gann Swing charts (see AFL library)
while WL doesn't have square line 
style chart.
 
A bottom line:
Trade control in WL is betterand 
nicer and I am willing to improve this functionality in 
AFL,
I like also the statistics inWL. 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@xxxxxxxxxx 

Sent: Wednesday, July 25, 
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 asa 
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.  Orso 
it seems to this programming dummy.
 
Bill
<BLOCKQUOTE 
>
----- Original Message ----- 

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

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

Dear Bernard,
 
Thank you for your 
opinion.
I have downloaded a trialversion 
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 Ifind it 
quite complicated. You have to have at 
least
3-4 times more code than in AFL 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 thatyou 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@xxxxxxxxxxxxxx 

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

 

Dear Tomasz
 
 I have a doubt if my 
message 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 youcan 
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 find a good 
trading systerm more I came to the conclusion that there is 
not 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 to have a 
tool that allow us to optimize and compare a bunch of TS 
periodically.
So I whish that AB couldhelp us 
in this task and allow to adapt  and optimise our TS 
easily.
For this Tomasz it wouldbe 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@xxxxxxxxxxxxxxxx 

Sent: Monday, July 23, 
2001 9:50 PM
Subject: Re: 
[amibroker] Backtesting reports

Dear Bernard,
 
Could you please tellme 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@xxxxxxx 
; <A title=amibroker@xxxxxxxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxxxxxx 

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@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: 
<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

<FONT 
size=2>Tomasz:
 
How about entry to lowest 
trough = trade drawdown
 
Did you notice the script 
functions listed on the Wealth-Lab site?  Isthat 
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 forthe 
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 entryto 
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
 
<FONT 
size=2>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 outof 
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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