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Hello,
First - there is a neat help feature built into new portfolio report, just hover your mouse
over the field name (like Recovery Factor) and you will see the description
displayed in the tooltip.
So from the report:
> 1. What is the Recovery Factor towards the end of the report? How to
> interpret that?
Recovery Factor is Net profit divided by Max. system drawdown
Describes system's ability to recover from losses. Should be more than 1.
If it is close to 2 or better - the the system is great
>
> 2. In one of my tests, I got following in the reports window -
>
> Annual return % 56.18 % 105.41 % -1.#J %
>
> Not sure what that last number is. May be a bug?
The last number is infinity. Apparently you had no short trades
that's why you got this. In future versions it will be replaced by N/A.
>
> 3. Is plotting equity supposed to work? What gets plotted is not
> really what's in the detailed report generated. May be it plots the
> last backtested equity? Not sure...
Yes it works and it is PORTFOLIO equity and it matches report.
Please note that default portfolio equity chart shows:
- the portfolio equity
- linear regression of portfolio equity
- cash available in account (the remaining is invested in securities)
- drawdown
- bars since last equity peak
The chart can be modified because it is available as custom indicator
(in IB window: Built-in: "Portfolio Equity" )
Please re-check if it does not match: send me the log (you can export
it using "Export" button) and send me your ~~~EQUITY ticker.
> Suggestions
> -----------
>
> 1. In the detail log, it would be nice to have a percent of
> profit/loss, next to the number.
OK.
> 2. If you close the report without saving it, its essentially lost
> unless you rerun the test. Would be nice to be able to see it again
> without re-running, but not a big deal.
Of course it will be done that way. First version is just raw and I
did not focus on such details.
> 3. Repeat from last post. Would be nice to be able to plot trade
> arrows.
At some point this will be added.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "jtelang" <jtelang@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, September 26, 2003 5:06 PM
Subject: [amibroker] Re: Portfolio trading
> Hi Tomasz,
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "jtelang" <jtelang@xxxx> wrote:
> > Ok. One more question: The "Show arrows for actual trades"
> feature...
> > Is that yet to be implemented in the Portfolio Test mode?
> >
> > Thanks.
> >
> > Jitu
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko"
> <amibroker@xxxx>
> > wrote:
> > > Hello,
> > >
> > > No such option as of now.
> > >
> > > Best regards,
> > > Tomasz Janeczko
> > > amibroker.com
> > > ----- Original Message -----
> > > From: "jtelang" <jtelang@xxxx>
> > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > Sent: Friday, September 26, 2003 2:09 AM
> > > Subject: [amibroker] Re: Portfolio trading
> > >
> > >
> > > > Tomasz,
> > > >
> > > > Is it possible to know a symbol's rank and/or whether or not
> its
> > in
> > > > MaxRanked at runtime while in backtest? I couldn't find
> something
> > > > like that in the docs, but just wanted to confirm.
> > > >
> > > > Do you (and others) feel it would be a good feature to have?
> For
> > > > example, lets say you wanted to try a strategy as - "if this
> > stock
> > > > was a high flier, i.e. within MaxRanked for last couple of
> days,
> > and
> > > > today its not, then may be its a signal (long or short
> depending
> > on
> > > > your ranking algo)".
> > > >
> > > > Thanks.
> > > >
> > > > Jitu
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko"
> > <amibroker@xxxx>
> > > > wrote:
> > > > > Herman,
> > > > >
> > > > > Of course PositionScore can be changed dynamically.
> > > > > If is actually done so in sample formula. The score is DYNAMIC
> > > > > and separate for each security.
> > > > >
> > > > > Scores are evaluated each bar and sorted. TOP "max. traded"
> > > > > symbols are being traded.
> > > > >
> > > > > But scoring happens BEFORE evaluating portfolio value
> (trading).
> > > > > This is important to understand that internal procedure is:
> > > > > - calculating score (by executing your AFL formula)
> > > > > - sorting by scores (ranking)
> > > > > - trading highest ranked securities
> > > > >
> > > > > Best regards,
> > > > > Tomasz Janeczko
> > > > > amibroker.com
> > > > > ----- Original Message -----
> > > > > From: "Herman van den Bergen" <psytek@xxxx>
> > > > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > > > Sent: Friday, September 26, 2003 1:31 AM
> > > > > Subject: RE: [amibroker] Portfolio trading
> > > > >
> > > > >
> > > > > > Thanks Tomasz,
> > > > > >
> > > > > > "Below you wrote: Score is PER SYMBOL. You need separate
> > score
> > > > for EACH
> > > > > > security.
> > > > > > So you can use individual Equity as score (taken from Equity
> > ()
> > > > function)
> > > > > > but you can not use portfolio equity as score because it is
> > only
> > > > one."
> > > > > >
> > > > > > But the Portfolio Equity is based on the price movement of
> > the n
> > > > > > highest-scored stocks, not on the Equity resulting from
> > trading
> > > > the
> > > > > > individual stock... so the Portfolio will not reflect the
> > > > additional gains
> > > > > > made by trading the individual stocks. I mean, a single
> > scoring
> > > > period
> > > > > > cannot contain several trades?
> > > > > >
> > > > > > Can the PositionScore be changed dynamically, a different
> one
> > for
> > > > each stock
> > > > > > tested?
> > > > > >
> > > > > > many thanks,
> > > > > > herman
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > > -----Original Message-----
> > > > > > From: Tomasz Janeczko [mailto:amibroker@x...]
> > > > > > Sent: Thursday, September 25, 2003 7:21 PM
> > > > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > > > Subject: Re: [amibroker] Portfolio trading
> > > > > >
> > > > > >
> > > > > > Hello,
> > > > > >
> > > > > > > I am probably not the only one who will have to struggle
> > with
> > > > the new
> > > > > > > portfolio features so i might as well post my questions
> to
> > the
> > > > board :-)
> > > > > > The
> > > > > > > Regular Mode appears to be easy and seems to work fine.
> > > > > > >
> > > > > > > However i have some questions about the Ranking/Scoring
> > mode:
> > > > > > >
> > > > > > > 1) The Help says: "This mode uses user-defined score to
> > rank
> > > > securities
> > > > > > and
> > > > > > > enter trades in highest scored securities.
> > Buy/sell/short/cover
> > > > signals
> > > > > > are
> > > > > > > IGNORED in that mode."
> > > > > > >
> > > > > > > Does this mean that securities are purchased more-or-less
> > like
> > > > buy&hold: a
> > > > > > > position stays open for as long as the security has the
> top
> > > > score?
> > > > > >
> > > > > > Yes. Top "max traded" securities are traded.
> > > > > > If you want to exit position you have to set PositionRank
> to
> > zero.
> > > > > >
> > > > > > > 2) I do not want to just switch securities passively
> (slow
> > > > trading) I
> > > > > > would
> > > > > > > like to switch actively traded stocks. Especially Stocks
> > that
> > > > are traded
> > > > > > > with different systems, i.e. using different and
> unrelated
> > > > periods and
> > > > > > > criteria. So, i want the Equity (system performance) to
> be
> > > > my "Score".
> > > > > >
> > > > > > Score is PER SYMBOL. You need separate score for EACH
> > security.
> > > > > > So you can use individual Equity as score (taken from Equity
> > ()
> > > > function)
> > > > > > but you can not use portfolio equity as score because it is
> > only
> > > > one.
> > > > > >
> > > > > >
> > > > > > >
> > > > > > > 3) It appears that the stocks are Scored daily,
> especially
> > with
> > > > respect to
> > > > > > > item 2) above I would like to be able to
> > Score "periodically",
> > > > either at
> > > > > > > regular intervals or at afl-determined times. Is this
> > possible?
> > > > > >
> > > > > > Yes it is possible. Just use "ValueWhen" function to hold
> the
> > > > score for
> > > > > > defined period
> > > > > >
> > > > > > PositionRank = ValueWhen( DayOfWeek() == 5,
> > your_formula ); //
> > > > this will
> > > > > > change scores only on fridays.
> > > > > >
> > > > > > Hope this helps.
> > > > > >
> > > > > > Best regards,
> > > > > > Tomasz Janeczko
> > > > > > amibroker.com
> > > > > > ----- Original Message -----
> > > > > > From: "Herman van den Bergen" <psytek@xxxx>
> > > > > > To: "AmiBroker" <amibroker@xxxxxxxxxxxxxxx>
> > > > > > Sent: Friday, September 26, 2003 1:11 AM
> > > > > > Subject: [amibroker] Portfolio trading
> > > > > >
> > > > > >
> > > > > > > your comments will be much appreciated!
> > > > > > >
> > > > > > > herman.
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > >
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