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HI MEMBERS.
i have spent the last few hours trying to get the results of testing
the combined total of compounding different securities from the back
test results.
i think from previous posts this would be a Dynamic Portfolio.
of a total 405 trades in a 10 year period with an average trade
length of 4 days the total net profit was $582,919.57.
this does not look great, but what i did was compound the trades
by using a spread sheet and manually sorting the trades by the buy
and sell dates, into different groups depending if their is more than
one trade on the same day,( so each group does not have 2 trades on
the same day).
the results look very promising.
group 1 had 107 trades of the possible 405 with a $8,293,514.51
profit.
group 2 had 97 trades with a profit of $2,298,649.01
group 3 had 59 trades with a profit of $9,543,414.72
this is only 263 of the 405 trades and the profit when compounded is
$ 20,135,578.00
The problem is it takes a long time to do this manually, so can
anyone write a spread sheet that can sort the system test results by
dates with out any overlap from the sell to the next buy.
place the overlapping trades in a new sheet , and repeat this step
on the new sheet till their are no more overlapping trade lists
then all i need to do is create artificial securities of these
spread sheets and have the open price as the buy and the close as
the sell to run in the back tester.
RESULTS OF THE NORMAL original SYS TEST ON THE WHOLE ASX.
Total net profit: 582919.57 Total commissions paid: 26730.00
Return on account: 4.26 % Open position gain/loss -99.00
Buy&Hold profit: 12654818.23 Bars (avg. days) in test: 1599290
(2502)
Buy&Hold % return: 92.57% System to Buy&Hold index: -95.39%
Annual system % return: 0.61% Annual B&H % return: 10.03%
System drawdown: -5448.44 B&H drawdown: -9986.18
Max. system drawdown: -17502.15 B&H max. drawdown: -3412571.19
Max. system % drawdown: -59.65% B&H max. % drawdown: -99.94%
Max. trade drawdown: -17502.15
Max. trade % drawdown: -55.56%
Trade drawdown: -6519.10
Total number of trades: 405 Percent profitable: 52.3%
Number winning trades: 212 Number losing trades: 193
Profit of winners: 838017.40 Loss of losers: -254998.83
Total # of bars in winners: 997 Total # of bars in losers: 620
Commissions paid in winners: 13992.00 Commissions paid in losers:
12738.00
Largest winning trade: 44934.00 Largest losing trade: -6585.10
# of bars in largest winner: 9 # bars in largest loser: 2
Commission paid in largest winner: 66.00 Commission paid in largest
loser: 66.00
Average winning trade: 3952.91 Average losing trade: -1321.24
Avg. # of bars in winners: 4.7 Avg. # bars in losers: 3.2
Avg. commission paid in winner: 66.00 Avg. commission paid in
loser: 66.00
Max consec. winners: 3 Max consec. losers: 4
Bars out of the market: 1596617 Interest earned: 0.00
Exposure: 0.2% Risk adjusted ann. return: 365.59%
Ratio avg win/avg loss: 2.99 Avg. trade (win & loss): 1439.55
Profit factor: 3.29
is it possible to create something like this in a spreadsheet?
cheers: john.
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