|
PureBytes Links
Trading Reference Links
|
Yuki,
You may also see this link:
http://www.tufts.edu/~gdallal/slr.htm
or any other that you may get if you go to www.google.com
and search for "linear regression standard error"
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Tomasz Janeczko" <amibroker@xxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, October 05, 2003 12:23 PM
Subject: Re: [amibroker] New portfolio testing numbers
> Hello,
>
> Shortly on Standard Error figure:
> standard error is a part of linear regression analysis.
> For simple description see this:
> http://www.numericalmathematics.com/least_squares.htm
>
> Standard error of equity describes how much equity line
> fluctuates around linear regression of it.
>
> Note that standard error grows with your initial capital.
> If the same system is tested usgin 10x more initial capital
> then standard error will grow also 10x (assuming % commissions).
>
> So you get high figures because your starting capital expressed
> in YEN is high. You may prefer to divide standard error by starting capital
> to get some more resonable values and to be able to compare
> figures when you are using different initial capital.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "Yuki Taga" <yukitaga@xxxxxxxxxxxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Sunday, October 05, 2003 8:54 AM
> Subject: [amibroker] New portfolio testing numbers
>
>
> > Here are of some of the new numbers that this new portfolio testing
> > is throwing my way. I do have a very rudimentary knowledge (stress
> > on 'very') about some of these numbers, but certainly not a fraction
> > as deep as some of you guys on this list. Mainly, until this past
> > year or so, I have been primarily a discretionary trader, one who has
> > recently been looking seriously for a system, something that would
> > attempt to trade systematically in a close approximation of what I
> > have usually tried to do on a discretionary basis.
> >
> > The data for this test goes back to 1/1/99, so it covers some strong
> > bull, bear, and chop periods in Tokyo. To me, the performance looks
> > pretty darn good. The max. system DD is less than I expected (less
> > than the number given by the old back tester, which means I'm getting
> > some benefit from diversification), and easily tolerable. I'd sure
> > like opinions on this, particularly on some of the numbers like UI
> > and UPI and K-Ratio and Standard Error. Recovery factor, for
> > example, is something I think I might have a decent idea about, but I
> > have never come across the actual statistical explanation.
> >
> > So who would be inclined to use a system producing these numbers?
> > Who would not? And why or why not, based on the performance numbers
> > and about 5 years of data? Winners are 65.1 percent, long profit is
> > about 52 percent of total versus about 48 percent for short profit.
> > Clearly the long side is the better side over the test period, but
> > the short side appears to me to be too good to ignore. (Long trade
> > winners are about 36 percent of all trades, and short trade winners
> > about 29 percent.) Testing this over 5 one-year periods shows very
> > little variation in the numbers below, so I think they are
> > representative of what I might expect. But I really don't know the
> > best way to determine that.
> >
> > The size of the Standard Error numbers startles me. I know standard
> > deviation a bit, but not standard error, nor what it is actually
> > telling me here.
> >
> > Recovery Factor 16.42 12.68 4.57
> > CAR/MaxDD 3.15 2.73 0.77
> > RAR/MaxDD 24.59 35.94 8.43
> > Profit Factor 2.41 3.08 1.94
> > Payoff Ratio 1.29 1.36 1.27
> > Standard Error 3112548.91 1569285.92 2911269.84
> > Risk-Reward Ratio 4.62 5.29 2.09
> > Ulcer Index 2.36 1.89 5.30
> > UlcerPerformance Index 11.04 9.10 2.02
> > Sharpe Ratio of trades 3.57 4.74 2.60
> > K-Ratio 6.34 7.25 2.87
> >
> > Yuki
> >
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> > Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
> > -----------------------------------------
> > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > --------------------------------------------
> > Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> > Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
> >
> >
> >
>
>
> Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
> -----------------------------------------
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> --------------------------------------------
> Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
>
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Buy Ink Cartridges or Refill Kits for your HP, Epson, Canon or Lexmark
Printer at MyInks.com. Free s/h on orders $50 or more to the US & Canada.
http://www.c1tracking.com/l.asp?cid=5511
http://us.click.yahoo.com/mOAaAA/3exGAA/qnsNAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|