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Fred,
No offense taken. System report is below. I set up the backtest using
$20K per trade with no compounding.
Let me ask some questions about Amibroker's System Test Report and the
Equity function(s):
If a system generates hundreds of trades over a 10 year backtest, does
AB's sort all of the trades chronologically and then report dd's and
equity chronologically, or are the System Report figures generated
from the alphabetically sequenced trades (which would render the
report meaningless)?
And further...
What real value are the reported drawdown figures? For example
starting with $20,000 and then after a few years of using a trading
system that accumulates a portfolio worth over $1,000,000... what does
a reported Max. system drawdown of $-67,000 and a Max. system %
drawdown of -73.09% really represent? Are the dd% figures based upon
the original $20 portfolio or are they calculated on the value of the
portfolio at the time the dd occurs? I know for example that the
system never experienced a -73% drawdown as measured by current
portfolio value (single digit dd% are more like what I observed
analyzing the trades in Excel).
And the reported Max. system drawdown of -67,047 might be devastating
against a $100K portfolio, but it is just a minor cost of doing
business when measured against a trading system that has generated
profit from winners of $3,232,044.
And what is the difference between max system drawdown and max trade
drawdown since they are the same figure?
One more question... I don't understand what the reported "Total net
profit: 13642497.00" figure is or how it is calculated.
As you can see, since there are many things I don't understand about
the Amibroker System Test Report, I use my own methods of rooting out
the viability of my trading systems.
Anyway, here is the report: Let me know how you would interpret this
reported data. Sorry if I sound 'dense', but when I don't understand
exactly how a reporting tool works, then I tend to ignore it and do my
own due diligence.
Overall performance summary
Total net profit: 13642497.00 Total commissions paid: 56136.00
Return on account: 7.74 % Open position gain/loss 0.00
Buy&Hold profit: 147573728.28 Bars (avg. days) in test: 14623657 (2407)
Buy&Hold % return: 83.73% System to Buy&Hold index: -90.76%
Annual system % return: 1.14% Annual B&H % return: 9.66%
System drawdown: -13959.68 B&H drawdown: -19973.34
Max. system drawdown: -67047.75 B&H max. drawdown: -76699124.91
Max. system % drawdown: -73.09% B&H max. % drawdown: -99.91%
Max. trade drawdown: -67047.75
Max. trade % drawdown: -65.76%
Trade drawdown: -11338.25
Total number of trades: 2339 Percent profitable: 49.8%
Number winning trades: 1165 Number losing trades: 1174
Profit of winners: 3232044.21 Loss of losers: -1308737.32
Total # of bars in winners: 6062 Total # of bars in losers: 3072
Commissions paid in winners: 27960.00 Commissions paid in losers:
28176.00
Largest winning trade: 53881.50 Largest losing trade: -11231.63
# of bars in largest winner: 7 # bars in largest loser: 2
Commission paid in largest winner: 24.00 Commission paid in largest
loser: 24.00
Average winning trade: 2774.29 Average losing trade: -1114.77
Avg. # of bars in winners: 5.2 Avg. # bars in losers: 2.6
Avg. commission paid in winner: 24.00 Avg. commission paid in loser:
24.00
Max consec. winners: 7 Max consec. losers: 5
Bars out of the market: 14606727 Interest earned: 11718469.88
Exposure: 0.1% Risk adjusted ann. return: 142.34%
Ratio avg win/avg loss: 2.49 Avg. trade (win & loss): 822.28
Profit factor: 2.47
Regards,
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, Fred Tonetti <ftonetti@xxxx> wrote:
> Phsst,
>
> This is not meant to offend, but posting a %Return compounded or not is
> not what I'd call results.
>
> There isn't enough there to judge whether or not a particular avenue is
> even worth investigating. If the system has low dd's and a fairly
> straight equity curve then it's probably at least worth some
> investigation.
>
> I'll go a little farther then a single number since pictures are usually
> worth more than words . especially when they have statistics associated
> with them.
>
> PS I changed the equity line indicator recently to use a multilane title
> for the statistics and reposted it in the files section.
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