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<SPAN
class=399252918-28032003>Psst,
<SPAN
class=399252918-28032003>
"I
consider the draw down figures to be suspect along with the Return onAccount
percentage, and the Buy and Hold data presented is useless to
me."
<SPAN
class=399252918-28032003>
I am
curious, my goal is to out perform Buy and Hold, if I cannot what is the point
of putting in all the extra effort? Could you perhaps explain why you feel this
number is of no use?
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: phsst
[mailto:phsst@xxxxxxxxx]Sent: Friday, March 28, 2003 1:22
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
TRENDING vs. RANGING markets (phsst)Fred,They
are indeed tough questions.When backtesting entire markets of stocks,
the figures that I relyupon from the System Report are:1) #
Trades2) # Winners3) # Losers4) Percent Profitable5) Profit from
winners MINUS Loss from Losers (wish Tomasz woulddisplay this figure as "Net
Profit".6) The avg data about # bars / winner or loser7) Risk adj Annual
ReturnI consider the drawdown figures to be suspect along with the
Return onAccount 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.Send
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