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Hello everyone,
I have another backtesting question. I've been playing around with
the backtester and just doing a basic ma cross over system with 3
years back data (2001 to now). I've got a pretty good %percent
profitable and avg win/loss ratio, but from what I have read of
previous post, this is a horrible system because of the max drawdown
and annual return %. I'm a little confused of annual return. Anyways,
here are some of my basic results. Any insight would be great or any
links to websites, etc to explain this more to me.
AmiBroker System Test ReportOverall performance summary
Total net profit:143866.03 Total commissions paid:7959.06
Return on account:8.20 % Open position gain/loss2277.81
Buy&Hold profit:-212824.67 Bars (avg. days) in test:205244 (852)
Buy&Hold % return:-12.13% System to Buy&Hold index:167.60%
Annual system % return:3.43% Annual B&H % return:-5.39%
System drawdown:-1090.53 B&H drawdown:-4994.05
Max. system drawdown:-6984.40 B&H max. drawdown:-61812.98
Max. system % drawdown:-44.51% B&H max. % drawdown:-99.92%
Max. trade drawdown:-6984.40
Max. trade % drawdown:-44.51%
Trade drawdown:-1515.37
Total number of trades:662 Percent profitable:82.6%
Number winning trades:547 Number losing trades:115
Profit of winners:153365.84 Loss of losers:-11816.36
Total # of bars in winners:1354 Total # of bars in losers:230
Commissions paid in winners:6499.45 Commissions paid in
losers:1459.62
Largest winning trade:8264.88 Largest losing trade:-855.40
# of bars in largest winner:4 # bars in largest loser:2
Commission paid in largest winner:116.41 Commission paid in
largest
loser:5.66
Average winning trade:280.38 Average losing trade:-102.75
Avg. # of bars in winners:2.5 Avg. # bars in losers:2.0
Avg. commission paid in winner:11.88 Avg. commission paid in
loser:12.69
Max consec. winners:9 Max consec. losers:4
Bars out of the market:203580 Interest earned:0.00
Exposure:0.8% Risk adjusted ann. return:423.43%
Ratio avg win/avg loss:2.73 Avg. trade (win & loss):213.82
Profit factor:12.98
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