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Hello,
I am speaking about built-in AmiBroker backtest
report.
It produces output if Backtest/optimize is used.
I am not referring to any 3rd party DLLs and I haven't
yet
used Steve Dugas DLL.
Anyway after running only Exploration,
Report button is simply disabled.
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=steve@xxxxxxxxxxxxxxxxxxxxxx
href="">Stephen Almond (F)
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, April 07, 2003 6:07
PM
Subject: Re: [amibroker] Steve
Dugas
Tomasz,
Does that apply to the .DLL which Steve Dugas
invented?
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Tomasz Janeczko
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, April 07, 2003 4:08
PM
Subject: Re: [amibroker] Steve
Dugas
Hello,
Only "BACKTEST" and "OPTIMIZE" modes produce Drawdowns and
other backtesting statistics.
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=steve@xxxxxxxxxxxxxxxxxxxxxx
href="">Stephen Almond (F)
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, April 07, 2003 3:34
PM
Subject: Re: [amibroker] Steve
Dugas
Steve,
When I run one of your
indicators against a group of stocks using Explore, most of them show 'Max
$ DD' and 'Max % DD' as zero. A few show non-zero values. Any idea why
this is? Here is my include file, in case this gives a clue:
TestBars
=126; // bars in testperiod (most
recent bars)StartDate = 991231; // start date for earlier
test periodEndDate =
0; // end date for earlier test
periodGoLong =
1; // 1 = take long positions, 0 = no
long positionsGoShort =
1; // 1 = take short positions, 0 = no
short positionsSignalPrice = Close; // array used for
trade signals and plotting indicatorTradeDelay =
1; // bars after trade signal to
execute tradeTradePrice = Open; // array used
for trade executionsInitEquity = 100000; // initial
equityReInvest =
1; // 1 = initial equity, 2 =
compounded equityCommAmount = 0.5;
// commission amountCommType =
2; // 1 = $/trade, 2 = %/trade, 3 =
c/shareEnterBarOne = 1; // 1 =
always open trade on 1st test bar, 0 = don'tOptimizeBy =
1; // 1 = annual % return, 2 = peak
equity at close/all
trades
// 3 = % winning trades, 4 = avg %
return/trade
// 5 = % return/worst trade, 6 = drawdown/starting equity
Also AB settings use n and
n=1
Thanks,
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Steve
Dugas
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, April 05, 2003 4:13
AM
Subject: Re: [amibroker] Steve
Dugas
Hi Stephen - Thank you for the kind words. Please see
my replies to yourquestions below:----- Original Message
-----From: "Stephen Almond (T)" <<A
href="">s.almond@xxxxxxxxx>To: "Ami"
<<A
href="">amibroker@xxxxxxxxxxxxxxx>Sent:
Friday, April 04, 2003 5:15 AMSubject: [amibroker] Steve
Dugas> Steve, congratulations on you excellent .DLL. I
would like to make acouple> of comments:>> 1.
On the attached chart of your TRIX indicator, the buy/sell signals
seem> too good to be true. Seems the programme picks the peak
before the> subsequent down day which defines that peak (same for
troughs, of course).> Can you introduce a couple of days delay to
make the trades more 'real'?>The chart shows the trade
signals while the reported results are based onthe actual trades.
TRIX uses a reversal system, so the indicator will changecolor on
the day that it reverses - you can confirm this by hovering
thecursor over the day that it changes color, and also the 2 days
before, andreading the values in the tool tips. I deliberately
programmed the charts toshow the signals so that it would alert me
to signals on the current bar.Actually, the signal is given on the
day that the DOT (not the line) changescolor. I added the dots
because in line mode, AB uses the new color toconnect the signal bar
to the previous bar, possibly giving the impressionthat the
signal occurred the day before it actually did. In real time
itdoesnt matter because the color change for the latest bar will
will show upon the dot and the line at the same time, but when
looking at past signals,it is the first DOT of a new color that
signals the reversal.You can select when the actual trades take
place, similar to AA settings, bysetting the TradePrice and
TradeDelay variables at the top of the code. Theyare preset to
execute the trade on the open of the day following the signal,but
for example, if your style is to trade at the close on the day of
thesignal, just change TradePrice to "Close" and TradeDelay to
"0".> 2. I notice that if I use 63 days (~1/4 year) for my
Testbars and get a> return of 12%, then the Annual return is
shown as 48%. Is the lack of> compounding correct, or are you
simply erring on the conservative side?The program uses 2
methods to figure annual return, one if you arereinvesting initial
equity and the other if you are reinvesting compoundedequity. If you
want to reinvest compounded equity (and also calculate annualreturn
based on this method), just set ReInvest variable to
"2".>> 3. I note in you help document that you say the
backtest isn't completely> consistent with the explorations. Do
you hope to remedy this? As anexample> if I use testbars
=126, should I be able to backtest over 126 bars and at> least
get the same number of trades as indicated by the
exploration?>Well, actually, the DLL has its own built-in
backtester, which it runs whenyou do an exploration. That is how it
determines the optimal parameters - ittests all combinations you
select and returns the most profitable one. Idont think that the
results will ever be identical to AB's backtesterbecause there are a
number of variables to consider and I dont know exactlyhow Tomasz
handles them all in his code. For example, AB calculates
interestwhen you are out of the market - I didnt bother to add
interest in the DLLbecause it seems like a relatively minor amount
these days, but maybe I willadd it in the future. Another example is
if you choose to reinvest initialequity, the DLL will actually
reinvest the lesser of initial equity oractual equity (in case you
lose money on the first trade for example, thisis more realistic) I
think this would correspond to using AB "positionsize"with
"allow shrinking" turned on . Another example is that the DLL
allowsyou to open a trade on the first bar of the test period if you
want to,rather than wait for the first signal to occur. If you
select this method,it will look backwards from the 1st test bar to
find the previous signal andthen enter the trade on the 1st bar of
the test period. I added this becauseI usually concentrate on what
the stock has been doing very recently and ifsome stocks make me
wait for half the test period before opening a trade,that makes it
hard to make a valid comparison over such a short time. To getas
close to AB results as possible, you can set all parameters to be
asclose to AB settings as possible. In my limited testing of this, I
have seenthat it is possible to come pretty close.>
Thanks for the great programmeYou are welcome : -
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