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Hello,
First, if your system is mostly out of the market (low Exposure)
RAR values will be high becauseRAR is calculated from profit divided bythe
exposure. So the lower exposure is - the higher RAR you get.
1. Average winning/ 2. average losing trade:
The average of winning/losing trades (sum of winners/losers divided by a
number of winning/losing trades) 1. (SumWinners/NumWinners) 2.
(SumLosers/NumLosers)
3. Exposure: Shows how much you are exposed to the
market. It is a ratio of bars in the market divided by total number of bars
under test. (The number of bars in the market is given by total number of bars
minus bars out of the market) (BarsInMarket/TotalBarsInTest)
4. Risk adjusted ann. return: Shows annual return of the
system (*see note) adjusted (divided) by market exposure. If your system gained
10% over one year with the exposure of 50% the adjusted return would be 20%
(10%/0.5) AnnualReturn/Exposure
5. Ratio avg win/avg loss: The absolute value of the
ratio of average winning trade to average losing trade abs(
(SumWinners/NumWinners)/(SumLosers/NumLosers) )
Profit factor: The absolute value of the ratio of the
profit of winners to loss of losers
abs( SumWinners/SumLosers )
Avg. trade (win & loss): The average trade profit
calculated as sum of winners and losers divided by the number of trades. (
SumWinners + SumLosers )/( NumWinners + NumLosers )
Hope this helps.
Best regards,Tomasz
Janeczko===============AmiBroker - the comprehensive share
manager.<FONT face=Tahoma
size=2>http://www.amibroker.com
----- Original Message -----
From: <<A
href=""><FONT face=Tahoma
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To: <<A
href=""><FONT face=Tahoma
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Sent: Friday, November 16, 2001 5:53
PM
Subject: [amibroker] Confused with Optimization
results
<FONT face=Tahoma
size=1>> To those with wiser heads than mine:> > Up tillnow, I
have had no difficulty interpreting optimization > results, but my
optimization has been fairly straight-forward since > I just studied
strategies on one stock at a time over years of buy > and sell signals.
For these studies, I found 4 columns on the > optimization report most
useful: Net%Profit and RAR along with a > comparison of the #winnersand
#loosers columns. > > But now I am doing optimization in a new way
and am very confused. > Instead of testing 1 stock over multiple buyand
sell periods, I am > testing 600 stocks over a single buy period. The
optimization steps > are designed to segment the stocks into groups of
about 60 each and > report the results. I had hoped this would let me
understand an > interesting time period more fully and allow me to
identify clusters > of low risk with reasonable profits. However, some of
the columns I > used in the past seem to go crazy now. For example, the
Net%Profit > column often reports 1% to 5% profitability even when the
winners > outnumber the looser trades and when the average gain colume
reports > a 25% average gain per trade. My guess is the 90% of the stocks
that > are not bought are including when calculating the Net%Profit.That
> also seems to be the case for the Exposure column which is often
> below 10%. And the RAR column will can give astronomically high
> numbers if the Exposure column is gets below 5%. In short, I know I
> should be looking at other columns -- unless there is an option to
> select that will exclude stocks not purchased when calculating the
> above columens. Is there such an option?> > So I am
looking at other columns instead. Am I on the right track to > be
concentrating on the following columns and is my interpreation of > them
correct. I have read the AB documentation, but I still have > some
questions: > > 1. AvgWin/AvgLoss column: This I assume divides the
avg gain in > dollars by the average loss in dollars. > >
2. #winners and #loosers: I look at the ratio between these two.>
> 3. Avg Trade: This column appears to give the average PROFIT in
> DOLLARS for all the trades. Since I would find a percentage number
> to be more understandable, I set the Initial Equity to 100 on the
> system settings screen. But does this affect the results if a >
stock's price is 51$? In such a case, does AB buy 1.98 shares or > just 1
share? Am I misleading myself by trying to get this column to > give
percentage results.> > 4. Profit factor: This appears to combine
the results of the > AvgWin/AvgLoss column with the ratio of #winners to
#loosers. If my > interpretation is correct, this is a very useful column
since it > gives an idea of the system's profit to risk characteristics.
> However, it sometimes gives no results if there happen to be no
> loosing stocks in an optimization step. > > Am I looking
at the right columns? Am I misinterpreting any?> > Thanks in
advance for any comments.> > b> > > >
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