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<SPAN
class=707084618-28032003>Fred,
Would
that not include the draw downs? It seems that by limiting the size of a trade
to say $20,000 then comparing system loss and trade loss we may get a better
idea of how a system is likely to perform in RT. Where the back test reports
confuse me is when we start out with 100k run it up to 1 million+ then
experience a 1/2 million dd on a trade. or 1/2 million profit on one trade while
others are losing/making money. Testing a universe of 8000 stocks for 10 years
could find a few remarkable trades that skew the end result simply because of
where the trade occurred in the run (huge win/loss in the middle when the
portfolio was fat).
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: Fred
[mailto:fctonetti@xxxxxxxxx]Sent: Friday, March 28, 2003 1:44
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
TRENDING vs. RANGING markets (phsst)Jayson,I
would agree with your comment regarding the desire of system performance to
be superior to buy and hold as far as your statement goes. In my
view this is not as simple as comparing returns between one and the other as
it should also at least include an evaluation of the negatives as
well.--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx>
wrote:> Psst,> > "I consider the draw down figures to be
suspect along with the Return on> Account percentage, and the Buy and
Hold data presented is useless to me."> > 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> -----Original Message-----> From: phsst
[mailto:phsst@xxxx]> Sent: Friday, March 28, 2003 1:22 PM> To:
amibroker@xxxxxxxxxxxxxxx> Subject: [amibroker] Re: TRENDING vs. RANGING
markets (phsst)> > > 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.> > > Yahoo!
Groups
Sponsor>
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bugs@xxxx> Send SUGGESTIONS to suggest@xxxx>
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