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Hello,
If you have a question to me send it to tj@xxxxxxxxxxxxx
(it can be CC: from the list).
I am really very busy right now and I am not able
to analyse every post sent to this list.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Fred" <fctonetti@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, March 28, 2003 6:52 PM
Subject: [amibroker] Re: TRENDING vs. RANGING markets (phsst)
> 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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>
>
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