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--- In amibroker@xxxx, "Tomasz Janeczko" <amibroker@xxxx> wrote:
> Hi,
>
> Have you checked the backtesting report? Does it show the stocks
> with empty trade list?
Below please find the AmiBroker System Test Report for a test
portfolio of two stocks. Stock 1301 has 7 trades and Stock 9997
none. I'd expect "Overall performance summary" and "Performance for
1301" be the same. But they are not.
Is this where I misunderstood the functionality of "exclude"?
sincerely,
-------------------------------------------------------------
AmiBroker System Test ReportSettings
Initial Equity:10000000Periodicity/Positions:Daily/Long
Commissions:0.00 %Annual interest rate:0.00%
Long trades
Buy price:CloseSell price:Close
Buy delay:0Sell delay:0
Short trades
Short price:CloseCover price:Close
Short delay:0Cover delay:0
Stops
Maximum loss:disabledProfit target:disabled
Value:0.00Value:0.00
Exit at stop?noExit at stop?no
-------------------------------------------------------------
Formula
Buy = Cross(Close, MA(Close, 50)) and Volume > 1000000;
Sell = Cross(MA(Close, 50), Close);
Buy = ExRem (Buy, Sell);
Sell = ExRem (Sell, Buy);
Exclude = LastValue(Cum(Buy + Sell)) == 0;
-------------------------------------------------------------
Overall performance summary
Total net profit:-3671845.19 Total commissions paid:0.00
Return on account:-18.36 % Open position gain/loss0.00
Buy&Hold profit:67943546.67 Bars (avg. days) in test:5684
(4069)
Buy&Hold % return:339.72% System to Buy&Hold index:-105.40%
Annual system % return:-1.80% Annual B&H % return:14.21%
System drawdown:-3671845.19 B&H drawdown:-1276595.74
Max. system drawdown:-4867497.36 B&H max.
drawdown:-137375886.52
Max. system % drawdown:-43.48% B&H max. % drawdown:-94.03%
Max. trade drawdown:-2105978.26
Max. trade % drawdown:-20.13%
Trade drawdown:-1154891.30
Total number of trades:7 Percent profitable:0.0%
Number winning trades:0 Number losing trades:7
Profit of winners:0.00 Loss of losers:-3671845.19
Total # of bars in winners:0 Total # of bars in losers:77
Commissions paid in winners:0.00 Commissions paid in
losers:0.00
Largest winning trade:0.00 Largest losing trade:-1154891.30
# of bars in largest winner:0 # bars in largest loser:30
Commission paid in largest winner:0.00 Commission paid in
largest
loser:0.00
Average winning trade:-1.#J Average losing trade:-524549.31
Avg. # of bars in winners:-1.$ Avg. # bars in losers:11.0
Avg. commission paid in winner:-1.#J Avg. commission paid in
loser:0.00
Max consec. winners:0 Max consec. losers:7
Bars out of the market:5606 Interest earned:0.00
Exposure:1.4% Risk adjusted ann. return:-131.39%
Ratio avg win/avg loss:1.#R Avg. trade (win & loss):-524549.31
Profit factor:0.00
-------------------------------------------------------------
Performance for 1301
Total net profit:-3671845.19 Total commissions paid:0.00
Return on account:-36.72 % Open position gain/loss0.00
Buy&Hold profit:-212765.96 Bars (days) in test:4808 (6815)
Buy&Hold % return:-2.13% System to Buy&Hold index:-1625.77%
Annual system % return:-2.42% Annual B&H % return:-0.12%
System drawdown:-3671845.19 B&H drawdown:-1276595.74
Max. system drawdown:-4867497.36 B&H max.
drawdown:-137375886.52
Max. system % drawdown:-43.48% B&H max. % drawdown:-94.03%
Max. trade drawdown:-2105978.26
Max. trade % drawdown:-20.13%
Trade drawdown:-1154891.30
Total number of trades:7 Percent profitable:0.0%
Number winning trades:0 Number losing trades:7
Profit of winners:0.00 Loss of losers:-3671845.19
Total # of bars in winners:0 Total # of bars in losers:77
Commissions paid in winners:0.00 Commissions paid in
losers:0.00
Largest winning trade:0.00 Largest losing trade:-1154891.30
# of bars in largest winner:0 # bars in largest loser:30
Commission paid in largest winner:0.00 Commission paid in
largest
loser:0.00
Average winning trade:-1.#J Average losing trade:-524549.31
Avg. # of bars in winners:-1.$ Avg. # bars in losers:11.0
Avg. commission paid in winner:-1.#J Avg. commission paid in
loser:0.00
Max consec. winners:0 Max consec. losers:7
Bars out of the market:4731 Interest earned:0.00
Exposure:1.6% Risk adjusted ann. return:-151.17%
Ratio avg win/avg loss:1.#R Avg. trade (win & loss):-524549.31
Profit factor:0.00
-------------------------------------------------------------
Trade list for 1301
TradeEntry dateExit dateNet ProfitEquity value
Long1990/02/131990/03/19-489130.439510869.57
Long1990/05/151990/06/25-1154891.308355978.26
Long1990/09/141990/09/17-386850.857969127.42
Long1992/07/021992/07/17-542700.437426426.98
Long1995/11/061995/11/08-286634.027139792.96
Long1995/11/101995/11/14-307220.016832572.95
Long2000/04/192000/04/20-504418.146328154.81
-------------------------------------------------------------
Performance for 9997
Total net profit:0.00 Total commissions paid:0.00
Return on account:0.00 % Open position gain/loss0.00
Buy&Hold profit:68156312.63 Bars (days) in test:876 (1324)
Buy&Hold % return:681.56% System to Buy&Hold index:-100.00%
Annual system % return:0.00% Annual B&H % return:76.27%
System drawdown:0.00 B&H drawdown:-420841.68
Max. system drawdown:0.00 B&H max. drawdown:-50561122.24
Max. system % drawdown:0.00% B&H max. % drawdown:-55.84%
Max. trade drawdown:0.00
Max. trade % drawdown:0.00%
Trade drawdown:0.00
Total number of trades:0 Percent profitable:-1.$%
Number winning trades:0 Number losing trades:0
Profit of winners:0.00 Loss of losers:0.00
Total # of bars in winners:0 Total # of bars in losers:0
Commissions paid in winners:0.00 Commissions paid in
losers:0.00
Largest winning trade:0.00 Largest losing trade:0.00
# of bars in largest winner:0 # bars in largest loser:0
Commission paid in largest winner:0.00 Commission paid in
largest
loser:0.00
Average winning trade:-1.#J Average losing trade:-1.#J
Avg. # of bars in winners:-1.$ Avg. # bars in losers:-1.$
Avg. commission paid in winner:-1.#J Avg. commission paid in
loser:-1.#J
Max consec. winners:0 Max consec. losers:0
Bars out of the market:875 Interest earned:0.00
Exposure:0.1% Risk adjusted ann. return:0.00%
Ratio avg win/avg loss:1.#R Avg. trade (win & loss):-1.#J
Profit factor:1.#R
-------------------------------------------------------------
Trade list for 9997
TradeEntry dateExit dateNet ProfitEquity value
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