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<FONT face=Arial
size=2>Phsst:
<FONT face=Arial
size=2>
If you find out let
me know. I need it too.
<FONT face=Arial
size=2>
<FONT face=Arial
size=2>Lionel
<FONT face=Tahoma
size=2>-----Original Message-----From: Phsst [mailto:phsst@xxxxxxxxx]
Sent: Friday, June 06, 2003 9:58 PMTo:
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re: HeadsUp backtest
against Mutual Funds> But I don't know how you tell
anything running "portfolios" ofstocks or mf's through AB without an extra
tool ... hint, hint.<Then you haven't figured all the angles... think
hard about it.--- In amibroker@xxxxxxxxxxxxxxx, "Fred"
<fctonetti@xxxx> wrote:> But I don't know how you tell anything
running "portfolios" of stocks > or mf's through AB without an extra tool
... hint, hint.> > --- In amibroker@xxxxxxxxxxxxxxx, "Phsst"
<phsst@xxxx> wrote:> > Fred got my curiosity up. I've never been
inclined to backtest > against> > Mutual Funds before... so I
did a HeadsUp test against my Mutual > Fund> > Database. Same
backtest period as the stock backtest.> > > >
Results:> > >
>
LONG > > First Trade
Jan 2 2003> > Last
Trade
Jun 5
2003> > Days in Test
154 >
> > > Trades
>
21,582
> > % Profitable
75.86% > > Net
P/L
>
2,276,658
> > Rate of Annual Return
21.79% > > > > Avg Profit /
Winner
168
> > Avg Days Held - Winners
>
31
> > Avg Loss / Loser
90
> > Avg Days Held - Losers
>
31
> > Avg PositionSize
5,562
> > Avg Market Exposure
24,423,175
> > Max Market Exposure
58,055,140
> > Initial Equity
500,000 > > Lowest
Account Value
499,768 > > Maximum
Account Value
2,776,659 > > Ending Account
Value
2,776,659 > > Max DD as a % of
Account Value
1.94% > >
> > Just FWIW.> > > > PhsstSend
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