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If one does not have overlapping trades it's simple enough to export
the trade list to Excel and at least get a "feel" for what the DD's
are although this will not give intra trade numbers, but if there are
overlapping trades one needs a more sophisticated solution then that
which is doable but not without some effort. One way to do this is
to capture the bar to bar changes when there is an open position from
which accurate equity curves can be obtained.
--- In amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx wrote:
> 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@xxxx>
> 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
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