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<FONT face=Arial
size=2>Fred:
Please
don't reply like a grade school teacher who wants to make the kids "think"
(college profs are also very guilty of this).
<FONT face=Arial
size=2>
You were asked a
question, please answer with enough detail so the recipient can use it.
Its most inappropriate to play mind games.
<FONT face=Arial
size=2>
<FONT face=Arial
size=2>Lionel
<FONT face=Tahoma
size=2>-----Original Message-----From: Fred
[mailto:fctonetti@xxxxxxxxx] Sent: Friday, June 06, 2003 10:06
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
HeadsUp backtest against Mutual FundsI wasn't asking
for a hint ... I was trying to give you one ...--- In
amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@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.<> > 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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