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Tomasz,
If I need a question answered that is *REALLY* important to me then I
know to send you an email or bug report directly.
Be aware that while I might like to see some things done differently
in AmiBroker, in most cases I can work around the issues and would
rather see your efforts spent enhanceing the product further rather
than divert your attention and energy to those issues that I can work
around myself.
So when you see me bantering about an issue in the message board
posts, just ignore me unless I specifically ask for your help.
Keep up the good work. And don't let the baby keep you awake at
night... we need you too ;-)
Regards,
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> Hello,
>
> If you have a question to me send it to tj@xxxx
> (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@xxxx>
> 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.
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
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> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
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> >
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> >
> >
> >
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