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Jayson,
It would of course need to include DD's. As Phsst said and I
subsequently agreed IMHO one must look at Returns & DD's in the
context of percent not dollars as the dollar values are meaningless
except in the context of percent.
As far as the confusion of the backtest reports, I must admit they
confuse me in the same way as they pertain to trading multiple issues
and how the numbers realte to total account size. To me a System Max
DD relates the dollar loss to the account dollar size in terms of
percent which for whatever reason I don't think is what is actually
reported.
--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> 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
> -----Original Message-----
> From: Fred [mailto:fctonetti@x...]
> Sent: Friday, March 28, 2003 1:44 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [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@x...]
> > 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.
> >
> >
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