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[amibroker] Re: TRENDING vs. RANGING markets (phsst)



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Fred,

They are indeed tough questions.

When backtesting entire markets of stocks, the figures that I rely
upon from the System Report are:

1) # Trades
2) # Winners
3) # Losers
4) Percent Profitable
5) Profit from winners MINUS Loss from Losers (wish Tomasz would
display this figure as "Net Profit".
6) The avg data about # bars / winner or loser
7) Risk adj Annual Return

I consider the drawdown figures to be suspect along with the Return on
Account percentage, and the Buy and Hold data presented is useless to me.

Have a good weeekend.

Phsst


--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> 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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