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>CAR is equivalent to what AB refers to as Annual system % return.
Looks like I'm wrong again. The reason I concluded that CAR was AB's Line 2
in its backtest report (Return on Account) was the email sent this morning
by your alter email name, Buck Gray, wherein the Excel spreadsheet appended
to it showed a column with the heading MAR. The formula in the first cell of
that column was =C2/-E2, where C2 is Net % Profit and E2 is MDD%. Net
%Profit in that report is the same as AB's Line 2 Return on Account, is it
not? That's where I'm getting confused.
Al V.
>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 > >
> > > > Yahoo! Groups Sponsor > ADVERTISEMENT > > > > > Post AmiQuote-
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Al Venosa
avcinci@xxxxxxxxxxx
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