|
PureBytes Links
Trading Reference Links
|
Hello,
the following info about annualized percentage return is from the
AB help (do a search for "annual" in the AB Help).
BTW, IMO MaxDD should not be overestimated because it is
the DD of one "slot" only.
UM
| *Note: Calculation method used for annual percentage returns:
|
| Most of the software (including two the most popular so-called
| professional packages) use very simple annualization method
| based on the following formula:
|
| simple_annualized_percentage_return = percentage_return * ( 365 / days_in_test );
|
| unfortunatelly this method is wrong and very misleading
| since it would| tell you that annual return is 22% when your
| system earned 44% during two years. This value is too optimistic.
| In fact annual return in this case is only 20%: if your initial
| investment was 10000 you earn 20% during the first year so
| you then get 12000 and 20% the second year that gives
| you 14400 = ( 12000 * 120 % ). So after two years you
| earned 44% but annually it is only 20%.
|
| AmiBroker is one of the few programs that calculates annual
| returns correctly and will give you correct value of 20% as
| shown in the example above. The formula that AmiBroker uses
| for annual return calculation is as follows:
|
| correctly_annualized_perc_return = 100% * ( (final_value/initial_value) ^ ( 365 / days_in_test ) - 1 )
|
| where x^y means rising x to the power of y.
----- Original Message -----
From: "dajester147" <dajester_147@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, May 09, 2003 8:32 AM
Subject: [amibroker] Backtesting Results - Horrible System ?
> 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
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Rent DVDs from home.
Over 14,500 titles. Free Shipping
& No Late Fees. Try Netflix for FREE!
http://us.click.yahoo.com/BVVfoB/hP.FAA/uetFAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|