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Fred,
For some time now, I've been mistakenly using CAR as ANN. I now know that
CAR in AB is the second line in the backtest report labeled Return on
Account, whereas ANN is the 5th line labeled Annual System % Return. I
believe in the past you once said the MAR (which is CAR/MDD) should be at
least greater than 1, perhaps a lot greater than 1. What is the typical
consensus about what the ANN/MDD should be? Does it make sense to even use
this quotient at all? Thanks.
Al Venosa
avcinci@xxxxxxxxxxx
>From: "Fred " Reply-To: amibroker@xxxxxxxxxxxxxxx To:
>amibroker@xxxxxxxxxxxxxxx Subject: [amibroker] Re: The Watered Down
>Semi-Interesting System Date: Fri, 21 Feb 2003 04:34:38 -0000
>
>CAR is the Cumulative Annual Return at any given point in time.
>
>ANN is the one year Annual Return at any given point in time.
>
>--- In amibroker@xxxxxxxxxxxxxxx, "Steve Davis" <_sdavis@xxxx> wrote: >
>Fred, > > Pardon my ignorance, but I still do not understand the difference
>betwenn > CAR% and Ann%. > > Could you try to explain it again? Maybe a
>simple example would help. > > Thanks, > -Steve > -----Original
>Message----- > From: Fred [mailto:fctonetti@x...] > Sent: Thursday,
>February 20, 2003 10:39 PM > To: amibroker@xxxxxxxxxxxxxxx > Subject:
>[amibroker] Re: The Watered Down Semi-Interesting System > > > Sid, > >
>That should not be necessary because that's the first thing in the > Equity
>Line indicator (See Below). The code below also includes the > later
>thought of ANN% > > /* */ > //--equity-plot-- do not remove this line > >
>MaxGraph = 10; > GraphZOrder = 1; > GraphXSpace = 20; > GraphYSpace = 10; >
> > BIR = IIf(Status("BarInRange") > 0, 1, 0); > > BarEq = Equity(1); >
>CurEq = Equity(); > MaxEq = Highest(CurEq); > FlatEq = IIf(BIR,
>BarsSince(MaxEq > Ref(MaxEq,-1)),0); > MaxFlat = Highest(FlatEq); >
>LMaxFlat = LastValue(MaxFlat) * (1 + GraphYSpace / 100); > LogEq =
>log10(CurEq); > > CurDD = IIf(BIR, 100 * (MaxEq - CurEq) / MaxEq, 0); >
>MaxDD = Highest(CurDD); > LMaxDD = LastValue(MaxDD) * (1 + GraphYSpace /
>100); > CumDD = Cum(CurDD); > > FirstBar = ValueWhen(ExRem(Buy OR Short,
>0), Cum(1)); > LastBar = LastValue(ValueWhen(Status("LastBarInRange") > 0,
>Cum (1))); > TotBars = LastValue(Cum(1)); > BarNo = ValueWhen(BIR > 0,
>Cum(1) - FirstBar + 1); > NoBars = LastValue(BarNo); > > Dates = DateNum();
> > Days = ValueWhen(BIR > 0, IIf(Dates != Ref(Dates,-1), 1, 0)); > TotDays
>= Cum(Days); > BPD = BarNo / TotDays; > > CAR = ValueWhen(BIR > 0, 100 *
>((CurEq / Ref(CurEq, -(BarNo - > 1))) ^ (1 / (BarNo / BPD / 252)) -1)); >
>Ann = ValueWhen(BIR > 0, 100 * ((CurEq / Ref(CurEq, -(252 * > BPD)) - 1)));
> > MAR = ValueWhen(BIR > 0, CAR / MaxDD); > UI = ValueWhen(BIR > 0,
>sqrt(CumDD / BarNo)); > UPI = (CAR - 5.4) / UI; > TPI = UPI / MaxDD; > >
>bb0 = LastValue(LinRegIntercept(Ref(LogEq, -(TotBars - > LastBar)),
>NoBars)); > mm = LastValue(LinRegSlope(Ref(LogEq, -(TotBars - LastBar)), >
>NoBars)); > yy = mm * BarNo + bb0; > > BarsCum = ValueWhen(BIR > 0,
>Cum(BarNo)); > AvgBar = LastValue(BarsCum) / NoBars; > SRDevSQ =
>ValueWhen(BIR > 0, sqrt(Cum((BarNo - AvgBar) ^ 2))); > ErrEq =
>LastValue(StdErr(Ref(logEq, -(TotBars - LastBar)), > NoBars)); > KRatio =
>ValueWhen(BIR > 0, mm * SRDevSQ / ErrEq / sqrt (NoBars)); > > TradeEq =
>IIf(Sell, (BarEq - ValueWhen(Buy, BarEq)) / ValueWhen (Buy, > BarEq), 0) +
> > IIf(Cover, (BarEq - ValueWhen(Short, BarEq)) / ValueWhen > (Short,
>BarEq), 0); > PosEq = Cum(IIf(TradeEq > 0, TradeEq, 0)); > NegEq =
>Cum(IIf(TradeEq < 0, TradeEq, 0)); > PosTrade = Cum(TradeEq > 0); >
>NegTrade = Cum(TradeEq < 0); > AvgPos = PosEq / PosTrade; > AvgNeg = NegEq
>/ NegTrade; > PosPct = PosTrade / (PosTrade + NegTrade); > Expect = (1 +
>AvgPos / abs(AvgNeg)) * PosPct - 1; > > Plot(IIf(BarNo > 0, CAR, -1e10),
>"CAR%", colorBrightGreen, > styleNoLine | styleNoLabel); > Plot(IIf(BarNo >
>0, Ann, -1e10), "Ann%", colorBrightGreen, > styleNoLine | styleNoLabel); >
> > Plot(IIf(BarNo > 0, -CurDD, -1e10), "CDD%", colorRed, > styleOwnScale |
>styleHistogram, -LMaxDD, LMaxDD); > Plot(IIf(BarNo > 0, -MaxDD, -1e10),
>"MDD%", colorDarkRed, > styleOwnScale, -LMaxDD, LMaxDD); > > Plot(IIf(BarNo
> > 0, MAR, -1e10), "MAR", colorBrightGreen, > styleNoLine | styleNoLabel);
> > > Plot(IIf(BarNo > 0, UI, -1e10), "UI", colorYellow, > styleNoLine |
>styleNoLabel); > //Plot(IIf(BarNo > 0, UPI, -1e10), "UPI", colorGreen, >
>styleNoLine | styleNoLabel); > //Plot(IIf(BarNo > 0, TPI, -1e10), "TPI",
>colorGreen, > styleNoLine); > //Plot(IIf(BarNo > 0, Expect, -1e10), "Exp",
>colorGreen, > styleNoLine); > //Plot(IIf(BarNo > 0, KRatio, -1e10),
>"KRatio",colorGreen, > styleNoLine | styleNoLabel); > > Plot(IIf(BarNo > 0,
>FlatEq, -1e10), "CF", colorYellow, > styleOwnScale | styleHistogram,
>-LMaxFlat, LMaxFlat); > Plot(IIf(BarNo > 0, MaxFlat,-1e10), "MF",
>colorDarkYellow, > styleOwnScale, -LMaxFlat, LMaxFlat); > > Plot(IIf(BarNo
> > 0, yy, -1e10), "LinReg",colorBlue, > styleThick | styleOwnScale |
>styleNoLabel); > > > > --- In amibroker@xxxxxxxxxxxxxxx, Sidney Kaiser
>wrote: > > At 08:04 PM 02/20/2003 -0500, you wrote: > > > > >Fred, > > > >
> > >I get an error in the "FirstBar = ValueWhen(ExRem(Buy OR Short, > 0), >
> > >Cum(1));" at the OR location.... > > > > > >Can you provide assistance
> > > > > Not Fred, but maybe I can help. That is the error message I got >
>when the > > AA system results were not communicating with the indicator >
>module. Check > > to see that you have /* at the bottom of the AA system
>script. > That > > seems to enable the link between the tester and the
>indicator code. > > > > Sid > > > > > > --- > > Outgoing mail is certified
>Virus Free. > > Checked by AVG anti-virus system (http://www.grisoft.com).
> > > Version: 6.0.455 / Virus Database: 255 - Release Date: 02/13/2003 > >
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