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The alter ego email id is really someone elses email address but
twice now it has been picked up when using Outlook to resend an email
to the AB Forum ... Sorry about that ...
As far as MAR in the spredsheet goes I incorrectly calculated it as
it should be CAR / MDD. However, AB does not provide CAR in the
summary information in the AA window so I cheated and used Net% / -
MDD which is sufficient to rank the vehicles tested.
--- 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 > >
> >Your use of
> > > >Yahoo! Groups is subject to the Yahoo! Terms of Service.
> > > >
> > >
> > >
_________________________________________________________________
> > > STOP MORE SPAM with the new MSN 8 and get 2 months FREE*
> > > http://join.msn.com/?page=features/junkmail
> >
>
>
> Al Venosa
> avcinci@xxxx
>
> _________________________________________________________________
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