[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

[amibroker] Re: Results Question (for Steve)



PureBytes Links

Trading Reference Links

This is correct.

--- In amibroker@xxxxxxxxxxxxxxx, "b519b" <b519b@xxxx> wrote:
> 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


------------------------ 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/