|
PureBytes Links
Trading Reference Links
|
<4) When you say there is no compounding:
Did you set positionsize so that you always buy 1 or 100 shares?
If you do not use positionsize at all, you might be using
>
Thomas,
Thanks for your effort.
What I meant by no compounding is that I limited each trade to $20k,
so that the system could not increase the trade size as profits
accumulate.
I'll go through your explanation of the System Test Report this
weekend, but my first impression from your description of some of the
calculated fields is that certain calculation assumptions in the
reporting program are flawed.
Anyway, I'll take a look and ask questions if I don't understand your
explanation.
Thanks again,
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "tchan95014" <tchan95014@xxxx> wrote:
> Phsst,
>
>
>
>
> Here are some of my peronal understanding about the report statistics
>
>
>
>
> 1) Total net profit = Profit of winners - Loss of losers + Interest
> earned
>
>
>
>
> There is $720.23 difference I could not explain from your report.
>
>
> From your report, > 85% of the total net profit is from the
> interest earned
>
>
> when stocks sitting idle.
>
>
>
>
> 2) Bars (avg. days) in test: 14623657 (2407)
>
>
>
>
> # of stocks in the portfolio = 14623657 / 2407 ~ 6075
>
>
> This is only an estimate, as not all stock has the same length of
> history.
>
>
> In AB calculation, you need to have the initial cash of $20000 *
> 6000 to do
>
>
> all your trading, hence the very low [Return on account]
>
>
>
>
>
> 3) 2407 / 250 ~ 10 years of history is used.
>
>
>
>
>
> 4) Considering there are 2339 trades, and there are 6000 stocks in the
> portfolio,
>
>
> apparently there are many stocks have never been traded in the
> 10-year history.
>
>
>
>
>
> They contributed to the interested earned from $20000 principal for
> each stock sitting
>
>
> idle for 10 years.
>
>
>
>
>
> Also because of this, the [Exposure] shows only 0.1%, and this very
> low exposure
>
>
> increases your [Risk adjusted ann. return] to 142.34%
>
>
>
>
>
> Annual system % return: 1.14%
>
>
> Exposure: 0.1%
>
>
> Bars out of the market: 14606727
>
>
> Bars (avg. days) in test: 14623657 (2407)
>
>
>
>
>
> 14606727 / 14623657 ~ 0.9988
>
>
> 1 - 0.9988 = 0.0012 ~ 0.1% [Exposure]
>
>
>
>
>
> 1.14% / 0.0012 ~ 950%
>
>
> I thought I have figured out why RAR% = 143.34%, apparently
> not.
>
>
>
>
>
> 3) Max. system % drawdown
>
>
> As AB stands today, it is yet to support porfolio testing, this %
> is a pessmistic figure
>
>
> which is taken from the worst MxDD% from whichever single stock
> traded.
>
>
>
>
>
> I also have difficult time understand other [Max....drawdown]
> statistics.
>
>
> I think the best idea is for TJ to publish how he calculate those
> numbers.
>
>
>
>
>
> 4) When you say there is no compounding:
>
>
> Did you set positionsize so that you always buy 1 or 100 shares?
>
>
> If you do not use positionsize at all, you might be using
>
>
> 100% of you equity all the time for each stock in each trade (I
> believe this is
>
>
> the default setting when positionsize is not used) which IS
> compounding because the
>
>
> more profit you earn, the more equity you have hence the more stock
> shares you trade.
>
>
> (I know there could be argument about the stock price fluctuates,
> but let's ignore it now
>
>
> because the price can go up or down and always affect the
> positionsize result)
>
>
>
>
>
> 5) The Profit factor looks good, considering there are so many trades
> cover a long history
>
>
> on a vast portfolio.
>
>
>
>
>
> The[Avg. trade (win & loss): 822.28] looks good too, if no
> compounding is used.
>
>
>
>
>
> My calculation from report:
>
>
>
>
>
> average trade = (Profit of winners - Loss of losers) / Total
> number of trades
>
>
> = (3232044.21 - 1308737.32) / 2339 = 1923306.89 /
> 2339 = 822.277
>
>
>
>
>
> matches AB calculation
>
>
>
>
>
> 6) I think this is a good system, taking other statistics into
> consideration, but initial
>
>
> cash might be an issue.
>
>
> I think the selective entry might have contributed the very few
> trades seen here,
>
>
> which might be a good idea in entering a trade when all odds are in
> favor.
>
>
>
>
>
>
>
>
>
>
>
> Thomas
>
>
>
>
> --- 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.
>
>
> >
>
>
> >
>
>
> > Yahoo! Groups Sponsor
>
>
> > ADVERTISEMENT
>
>
> >
>
>
> >
>
>
> >
>
>
> >
>
>
> > Send BUG REPORTS to bugs@xxxx
>
>
> > Send SUGGESTIONS to suggest@xxxx
>
>
> > -----------------------------------------
>
>
> > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
>
>
> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
>
>
> > --------------------------------------------
>
>
> > Check group FAQ at:
>
>
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
>
> >
>
>
> > Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Your own Online Store Selling our Overstock.
http://us.click.yahoo.com/rZll0B/4ftFAA/46VHAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|