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Phsst & Others interested in this subject,
One of the problems with taking information from even a detailed report in AB and exporting it to a CSV and then in turn importing into Excel is that although it will properly show the Entry Date & Price and Exit Date & Price, it does not show prices of whatever it is that’s being traded during the bars in between the entry and exit, therefore there is no way using a methodology like that to come up with semi-accurate numbers for drawdowns …
Example …
For simplicity I used Pring’s KST system trading AA i.e. only one stock ...
As one can see from the report below there was a 7.1% CAR and 36.71% drawdown on a close to close basis.
In looking at the Equity Line in the graph (attached) one can see here too that there were the same results.
But if one does a copy of the actual detail trade information and paste into Excel (See Attached) and adds columns for max equity and drawdown% and then at the bottom of the column takes the maximum of drawdown%, the result shows an incorrectly low 27.67%. The reason of course is that the detailed report from AB and thus Excel does not show what happened during the course of time that individual trades were being held.
In looking at what is in the AB reports when multiple stocks are traded some of which could be simultaneously or overlapping investments there are several problems.
1. AB apparently assumes that one must have enough capital to buy say $10k of every stock in the run and so it forces initial equity to be higher then it needs to be.
2. AB reports as MaxDD what is the MaxDD for one stock trade and although in some way this may be useful information it overstates what MaxDD is for the account. Beyond this though and given what information is available in the detailed report trading only one stock, it would not be possible to export all the trades for multiple stocks and get a semi clear picture of what Returns or MaxDD for the system is. This would have to be done using a different methodology, probably utilizing an exploration.
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Title: AmiBroker System Test Report
Overall performance summary
Total net profit:
2057.24
Total commissions paid:
0.00
Return on account:
205.72 %
Open position gain/loss
-68.57
Buy&Hold profit:
6133.33
Bars (avg. days) in test:
4106 (5942)
Buy&Hold % return:
613.33%
System to Buy&Hold index:
-66.46%
Annual system % return:
7.11%
Annual B&H % return:
12.83%
System drawdown:
-15.92
B&H drawdown:
-13.33
Max. system drawdown:
-1606.05
B&H max. drawdown:
-8640.00
Max. system % drawdown:
-36.71%
B&H max. % drawdown:
-59.31%
Max. trade drawdown:
-701.04
Max. trade % drawdown:
-17.34%
Trade drawdown:
-701.04
Total number of trades:
55
Percent profitable:
50.9%
Number winning trades:
28
Number losing trades:
27
Profit of winners:
4801.88
Loss of losers:
-2676.07
Total # of bars in winners:
1353
Total # of bars in losers:
671
Commissions paid in winners:
0.00
Commissions paid in losers:
0.00
Largest winning trade:
810.15
Largest losing trade:
-633.76
# of bars in largest winner:
93
# bars in largest loser:
8
Commission paid in largest winner:
0.00
Commission paid in largest loser:
0.00
Average winning trade:
171.50
Average losing trade:
-99.11
Avg. # of bars in winners:
48.3
Avg. # bars in losers:
24.9
Avg. commission paid in winner:
0.00
Avg. commission paid in loser:
0.00
Max consec. winners:
5
Max consec. losers:
5
Bars out of the market:
2068
Interest earned:
0.00
Exposure:
49.6%
Risk adjusted ann. return:
14.32%
Ratio avg win/avg loss:
1.73
Avg. trade (win & loss):
38.65
Profit factor:
1.79
Performance for AA
Total net profit:
2057.24
Total commissions paid:
0.00
Return on account:
205.72 %
Open position gain/loss
-68.57
Buy&Hold profit:
6133.33
Bars (days) in test:
4106 (5942)
Buy&Hold % return:
613.33%
System to Buy&Hold index:
-66.46%
Annual system % return:
7.11%
Annual B&H % return:
12.83%
System drawdown:
-15.92
B&H drawdown:
-13.33
Max. system drawdown:
-1606.05
B&H max. drawdown:
-8640.00
Max. system % drawdown:
-36.71%
B&H max. % drawdown:
-59.31%
Max. trade drawdown:
-701.04
Max. trade % drawdown:
-17.34%
Trade drawdown:
-701.04
Total number of trades:
55
Percent profitable:
50.9%
Number winning trades:
28
Number losing trades:
27
Profit of winners:
4801.88
Loss of losers:
-2676.07
Total # of bars in winners:
1353
Total # of bars in losers:
671
Commissions paid in winners:
0.00
Commissions paid in losers:
0.00
Largest winning trade:
810.15
Largest losing trade:
-633.76
# of bars in largest winner:
93
# bars in largest loser:
8
Commission paid in largest winner:
0.00
Commission paid in largest loser:
0.00
Average winning trade:
171.50
Average losing trade:
-99.11
Avg. # of bars in winners:
48.3
Avg. # bars in losers:
24.9
Avg. commission paid in winner:
0.00
Avg. commission paid in loser:
0.00
Max consec. winners:
5
Max consec. losers:
5
Bars out of the market:
2068
Interest earned:
0.00
Exposure:
49.6%
Risk adjusted ann. return:
14.32%
Ratio avg win/avg loss:
1.73
Avg. trade (win & loss):
38.65
Profit factor:
1.79
Trade list for AA
Trade
Entry date
Entry price
Exit date
Exit price
Net Profit
Equity value
Long
1/7/1987
3.14
4/2/1987
3.65
162.42
1162.42
Long
4/23/1987
4.07
5/29/1987
4.13
17.14
1179.56
Long
6/23/1987
4.59
6/29/1987
4.60
2.57
1182.13
Long
7/16/1987
4.91
8/24/1987
5.08
40.93
1223.06
Long
11/27/1987
4.06
1/18/1988
3.79
-81.34
1141.72
Long
2/19/1988
3.98
5/10/1988
3.91
-20.08
1121.64
Long
6/2/1988
4.23
7/28/1988
4.53
79.55
1201.19
Long
10/5/1988
4.87
11/9/1988
4.81
-14.80
1186.39
Long
12/27/1988
4.90
3/2/1989
5.65
181.59
1367.98
Long
4/21/1989
5.85
6/8/1989
6.22
86.52
1454.50
Long
7/28/1989
6.38
9/21/1989
6.92
123.11
1577.61
Long
12/6/1989
7.09
1/17/1990
6.26
-184.68
1392.92
Long
3/5/1990
6.39
4/19/1990
6.10
-63.22
1329.71
Long
5/15/1990
6.30
7/3/1990
6.28
-4.22
1325.49
Long
7/16/1990
6.71
8/10/1990
6.20
-100.74
1224.74
Long
9/13/1990
6.59
10/3/1990
6.14
-83.63
1141.11
Long
11/29/1990
5.38
4/1/1991
6.43
222.71
1363.82
Long
5/7/1991
7.10
5/20/1991
6.67
-82.60
1281.22
Long
7/25/1991
7.11
8/2/1991
7.02
-16.22
1265.00
Long
11/1/1991
6.40
11/20/1991
5.92
-94.88
1170.13
Long
12/26/1991
6.50
4/8/1992
6.85
63.01
1233.13
Long
4/22/1992
7.67
6/9/1992
8.00
53.06
1286.19
Long
9/22/1992
6.99
10/1/1992
6.77
-40.48
1245.71
Long
10/22/1992
7.10
1/21/1993
7.19
15.79
1261.50
Long
2/2/1993
7.71
2/26/1993
7.33
-62.18
1199.32
Long
5/14/1993
6.92
9/15/1993
7.56
110.92
1310.24
Long
11/15/1993
7.37
12/27/1993
7.30
-12.44
1297.80
Long
1/10/1994
7.89
3/7/1994
8.08
31.25
1329.05
Long
5/26/1994
7.53
8/22/1994
8.36
146.50
1475.55
Long
8/30/1994
9.02
10/13/1994
9.02
0.00
1475.55
Long
1/3/1995
9.29
1/31/1995
8.59
-111.18
1364.37
Long
3/29/1995
8.82
6/13/1995
9.72
139.22
1503.59
Long
6/29/1995
10.65
8/30/1995
13.01
333.19
1836.78
Long
11/21/1995
12.21
12/21/1995
11.82
-58.67
1778.11
Long
2/2/1996
12.45
4/30/1996
13.87
202.80
1980.91
Long
8/7/1996
13.56
9/24/1996
13.11
-65.74
1915.17
Long
11/5/1996
13.49
12/30/1996
14.25
107.90
2023.07
Long
1/6/1997
15.29
2/10/1997
15.06
-30.43
1992.64
Long
2/25/1997
15.83
4/1/1997
15.60
-28.95
1963.69
Long
5/14/1997
16.42
7/3/1997
17.47
125.57
2089.26
Long
12/22/1997
15.97
1/20/1998
15.60
-48.40
2040.85
Long
4/16/1998
17.67
5/22/1998
16.41
-145.53
1895.32
Long
7/17/1998
16.70
8/14/1998
14.60
-238.33
1656.99
Long
9/16/1998
16.41
12/3/1998
16.94
53.52
1710.51
Long
1/12/1999
19.76
2/25/1999
19.14
-53.67
1656.84
Long
4/8/1999
20.03
6/3/1999
27.96
655.95
2312.79
Long
11/19/1999
30.02
1/26/2000
33.49
267.33
2580.12
Long
4/6/2000
33.49
4/13/2000
32.96
-40.83
2539.29
Long
6/28/2000
28.11
9/14/2000
28.13
1.81
2541.10
Long
11/3/2000
26.41
3/20/2001
34.83
810.15
3351.25
Long
4/23/2001
38.80
6/7/2001
41.94
271.21
3622.46
Long
10/23/2001
32.64
12/28/2001
35.12
275.24
3897.69
Long
2/19/2002
34.40
4/3/2002
36.35
220.94
4118.64
Long
8/27/2002
26.32
9/6/2002
22.27
-633.76
3484.88
Long
10/21/2002
23.39
1/21/2003
20.98
-359.07
3125.81
Open Long
3/21/2003
21.88
4/9/2003
21.40
-68.57
3057.24
Attachment:
AB-KST-Graph.png
Description: PNG image
Attachment:
Attachment:
Description: "Description: MS-Excel spreadsheet"
Attachment:
Description: "AB-KST-Excel.xls"
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