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Al,
The alter ego email name really isn't mine but twice now when using
Outlook to resend an email it has picked up an address from someone
else I was corresponding with who is also an AB member. Undoubtedly
operator error.
With reagrds to MAR in the Excel sheet, you are correct in that MAR =
CAR / MDD, but CAR is not available in the one line output summaries
from AA backtests, so I did in the spreadsheet calculate it as you
say as this is sufficient to provide a number to rank the vehicles
with. Sorry for the confusion.
--- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <avcinci@xxxx> wrote:
> >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-
> >related
> > > >messages ONLY to: amiquote@xxxxxxxxxxxxxxx > (Web page:
> > > >http://groups.yahoo.com/group/amiquote/messages/) > > Check
group
> >FAQ at: >
> > > >http://groups.yahoo.com/group/amibroker/files/groupfaq.html > >
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> > > >
> > >
> > >
_________________________________________________________________
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> >
>
>
> Al Venosa
> avcinci@xxxx
>
> _________________________________________________________________
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