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CAR is equivalent to what AB refers to as Annual system % return.
ANN is equivalent to the one year gain or loss at any given point in
time. I personally don't view ANN as a particulary important
statistic except that there should be some consistancy to it i.e. one
would not want ANN to be 100% this year and -50% next year. However
one could also see this in the log of equity which should approximate
a straight line without a lot of big hiccups in it.
--- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <avcinci@xxxx> wrote:
> 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@xxxx
> >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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