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Steve,
I may be wrong, but I think Mark's method needs to run in the "old"
backtester.
Using the new backtester you will some but not all of the trades
that a stock could have made. The new backtester tests a porfolio of
stocks, but for this stage in Mark's system development, one needs
to see ALL the trades a stock could have made. The old backtester
will do this for you.
Since the old backtester is used, there is no option for using
CAR/maxDD. According to Mark, the most useful ratio, for his
purpose, provided by the old back tester is the Profit Factor.
Hope this this.
If I am wrong, Mark will jump in and set things straight.
b
--- In amibroker@xxxxxxxxxxxxxxx, "Steve Almond" <steve2@xxxx> wrote:
> Here are a set of sample results using number of stocks from 1 to
10:
>
> Stocks CAR Max DD % CAR/MDD Profit Factor
> 1 88.18 -60.40 1.46 3.53
> 1-2 96.49 -39.95 2.42 2.26
> 1-3 79.03 -37.02 2.13 2.29
> 1-4 85.30 -35.87 2.38 2.32
> 1-5 85.12 -30.09 2.83 2.32
> 1-6 76.29 -32.16 2.37 2.15
> 1-7 73.41 -29.54 2.49 2.07
> 1-8 75.79 -30.08 2.52 2.15
> 1-9 73.04 -27.69 2.64 2.14
> 1-10 69.86 -26.55 2.63 2.13
>
>
> How would I isolate the result for each individual stock number?
Something like:
>
> Return(1-5) - Return(1-4) = Return(5)
>
> Can I just change 85% to 1.85, and subtract the values or do I
need to introduce logs into the calculation? How about the Max DD%
column?
> Incidentally, this seems to show that CAR/MDD is a more sensible
criterion for ranking systems than Profit Factor.
>
> Thanks,
>
> Steve
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