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Re. equity plot, my bad. I didn't notice the portfolio equity plot.
Yes, it does seem to match.
Thanks.
Jitu
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> 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@xxxx>
> 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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