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Phsst,
These are all tough questions and would be best answered by the
author. In regards to some of your other questions, I personally
find all measurements in terms of percents much more informative than
measurements in terms of dollars for the reasons you state. I don't
think the MaxDD% that the reports show when trading more than one
vehicle simultaneously are accurate as presented in terms of account
balance but then I am not the author and I have not put much effort
into this area as in general this is not something I do or at least
not within a single account.
--- In amibroker@xxxxxxxxxxxxxxx, "phsst" <phsst@xxxx> wrote:
> 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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