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Hello,
Please add
Exclude = LastValue( Cum( Buy + Sell ) ) == 0;
at the end of your formula.
This will eliminate stocks that do not generate any buy/sell signal
from buy and hold, exposure and RAR calculation.
Best regards,
Tomasz Janeczko
===============
AmiBroker - the comprehensive share manager.
http://www.amibroker.com
----- Original Message -----
From: <b519b@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, November 17, 2001 12:49 AM
Subject: [amibroker] Re: Confused with Optimization results
> Tomasz, thank you for the formulas which cleared up most of my
> confusion.
>
> As for your comment about my system being out of the market for most
> of the time, that is not quite the case. I had AB just do the
> optimization on a specific time period during which I intended to be
> fully (100%) invested in a basket of 20 to 40 stocks selected from a
> study group of 600. The goals was to be fully invested in the best 3%
> to 8% of the stocks. Thus all the bars of the selected stocks
> were "in the market" for the whole time (and of course all the bars
> of the non selected stocks were "out of the market" for the whole
> time). The exposure was so low because AB included the bars of the
> non-selected stocks when producing this report. A similar result
> occurs for the Net%Profit column. Is there any way to have AB
> calculate Exposure, and by extension RAR, in such cases where one
> intends to be 100% invested in a small subset of stocks studied in an
> optimation? If there is no way, it is not a major problem since
> other columns provide helpful data for determining the effectiveness
> of the variations on the strategy.
>
> Thanks again for making a very powerful program.
>
> b
>
> --- In amibroker@xxxx, "Tomasz Janeczko" <amibroker@xxxx> wrote:
> > Hello,
> >
> > First, if your system is mostly out of the market (low Exposure)
> RAR values will be high because
> > RAR is calculated from profit divided by the 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.
> > http://www.amibroker.com
> >
> > ----- Original Message -----
> > From: <b519b@xxxx>
> > To: <amibroker@xxxx>
> > Sent: Friday, November 16, 2001 5:53 PM
> > Subject: [amibroker] Confused with Optimization results
> >
> >
> > > To those with wiser heads than mine:
> > >
> > > Up till now, 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 #winners and #loosers columns.
> > >
> > > But now I am doing optimization in a new way and am very
> confused.
> > > Instead of testing 1 stock over multiple buy and 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
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > > Your use of Yahoo! Groups is subject to
> http://docs.yahoo.com/info/terms/
> > >
> > >
> > >
>
>
>
>
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
>
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