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<FONT face=Arial color=#0000ff
size=2>Tomasz,
This
is really nice work. I love the tabbed headings and the ability to see the code
that produced the report. You have made it a breeze to compare and contrast.
Great job , as usual :)
Regards,
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: Tomasz Janeczko
[mailto:amibroker@xxxxxx]Sent: Sunday, November 30, 2003 11:45
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
AmiBroker 4.50.0 BETA released
Hello,A new beta version (4.50.0) of AmiBroker has
just been released.
The highlights of this new version:
1. Completely new Report Explorer application that allows to compare,
view and analyse all portfolio backtests results.
( available from Automatic Analysis -> Report -> Report Explorer
)
2. Individual backtest mode that replaces old backtester working in
multiple-stock mode.
It is available for registered users only from the members area
at:<A
href=""><FONT
size=2>http://www.amibroker.com/members/bin/ab4500beta.exe<FONT
size=2>and<A
href=""><FONT
size=2>http://www.amibroker.net/members/bin/ab4500beta.exe<FONT
size=2>(File size: 642 507 bytes, 642 KB)If you forgot
your user name / password to the members areayou can use automatic reminder
service at: <FONT
size=2>http://www.amibroker.com/login.htmlThe
instructions are available below and in the "ReadMe" file( Help->Read Me
menu from AmiBroker )
CHANGES FOR VERSION 4.50.0 (as compared to 4.49.0)
old backtester uses now also "MinShares" Setting, so it will not enter
trade with share position size lower than 'min. shares'. Due to this change.
'min. shares' setting has been moved from 'Portfolio' to 'General' setting
page.
changed handling of open positions in old backtester to match with
portfolio backtester and equity plot:- exit commissions are taken from
open position profit (previously they were not taken)- open positions are
closed always at CLOSE price (previously were closed at trade price)
LineArray( x0, y0, x1, y1, extend = 0, usebarindex = False )- has new
parameter (usebarindex) - False by default that switches allows to specify x
parameters as bar Indexes (as returned by BarIndex() function).
fixed problem with displaying exploration results having more than 100
columns
portfolio backtests/optimizations should be 2x faster on average (*
excluding scanning phase)
layout of AA window changed. Now (new) PORFOLIO backtest and PORTFOLIO
optimize modes are default and available from "Backtest" and "Optimize"
buttons. Other modes are available from drop down menus added to "Backtest"
and "Optimize" buttons. Portfolio report is no longer automatically displayed
after portfolio backtest. Please click "Report" button to display it. The same
applies to portfolio equity.
layout of settings page changed. Old backtester settings moved to 'old'
page.
new "individual backtest" mode: allows to run new backtester separately on
each symbol in the selected "apply to" group. (Replaces old backtester
functionality in testing multiple stocks and provides new reports)
settings and formula used are automatically saved after portfolio
backtests
new reports are now divided into separate pages: Statistics, Charts,
Trades, Formula, Settings, Symbols
each backtest report is now automatically stored "Reports" subfolder of
AmiBroker directory. The results.rlst holds tab separated list of all
backtests results while corresponding subdirectories hold reports of backtest.
REMEMBER to delete old reports periodically (using Report Explorer), otherwise
your hard disk would fill up!
New add-on program (free) included: Report Explorer that allows to browse
/ sort / view / delete results of backtests.Available from AA window
Report -> Report Explorer.
new AFL function:SetFormulaName( string )allows to programatically
change the name of the formula that is displayed in the backtest result
explorer
fixed cases when GetChartID() used in AA did not return zero
Window->Clone has been renamed to Window->New Linked to better
describe its function
other minor fixes
Best regards,Tomasz Janeczkoamibroker.com
AmiBroker 4.50.0 Beta Read Me
November 30, 2003 17:30
THIS IS A BETA VERSION OF THE SOFTWARE. EXPECT BUGS !!!
Backup your data files and entire AmiBroker folder
first!
INSTALLATION INSTRUCTIONS
IMPORTANT: This archive is update-only. You have to install full
version 4.40 first.
Just run the installer and follow the instructions.
Then run AmiBroker. You should see "AmiBroker 4.50.0 beta" written in the
About box.
See CHANGE LOG below for detailed list of changes.
HELP ON NEW FEATURES
New backtest report
New report is hugely enhanced compared to old one. It includes separate
statistics for all, long and short sides as well as large number of new metrics.
You can get short help on given figure by hovering your mouse over given field
name. You will see the description in the tooltip. Short explanations are
provided also below:
Exposure % - modified since last release
-'Market exposure of the trading system calculated on bar by bar basis. Sum of
bar exposures divided by number of bars. Single bar exposure is the value of
open positions divided by portfolio equity.
Net Risk Adjusted Return % - Net profit % divided by
Exposure %
Annual Return % - Compounded Annual Return % (CAR)
Risk Adjusted Return % - Annual return % divided by Exposure
%
Avg. Profit/Loss - (Profit of winners + Loss of
losers)/(number of trades)
Avg. Profit/Loss % - '(% Profit of winners + % Loss of
losers)/(number of trades)
Avg. Bars Held - sum of bars in trades / number of
trades
Max. trade drawdown - The largest peak to valley decline
experienced in any single trade
Max. trade % drawdown - The largest peak to valley
percentage decline experienced in any single trade
Max. system drawdown - The largest peak to valley decline
experienced in portfolio equity
Max. system % drawdown - The largest peak to valley
percentage decline experienced in portfolio equityRecovery
Factor - Net profit divided by Max. system
drawdownCAR/MaxDD - Compound Annual % Return divided by
Max. system % drawdown
RAR/MaxDD - Risk Adjusted Return divided by Max. system %
drawdown
Profit Factor - Profit of winners divided by loss of
losers
Payoff Ratio - Ratio average win / average
lossStandard Error - Standard error measures chopiness
of equity line. The lower the better.
Risk-Reward Ratio - Measure of the relation between the risk
inherent in a trading the system compared to its potential gain. Higher is
better. Calculated as slope of equity line (expected annual return) divided by
its standard error.
Ulcer Index - Square root of sum of squared drawdowns
divided by number of bars
Ulcer Performance Index - (Annual profit - Tresury notes
profit)/Ulcer Index'>Ulcer Performance Index. Currently tresury notes profit
is hardcoded at 5.4. In future version there will be user-setting for this.
Sharpe Ratio of trades - Measure of risk adjusted return of
investment. Above 1.0 is good, more than 2.0 is very good. More information <A
href="">http://www.stanford.edu/~wfsharpe/art/sr/sr.htm
. Calculation: first average percentage return and standard deviation of returns
is calculated. Then these two figures are annualized by multipling them by ratio
(NumberOfBarsPerYear)/(AvgNumberOfBarsPerTrade). Then the risk free rate of
return is subtracted (currently hard-coded 5) from annualized average return and
then divided by annualized standard deviation of
returns.K-Ratio - Detects inconsistency in returns.
Should be 1.0 or more. The higher K ratio is the more consistent return you may
expect from the system. Linear regression slope of equity line multiplied by
square root of sum of squared deviations of bar number divided by standard error
of equity line multiplied by square root of number of bars. More information:
Stocks & Commodities V14:3 (115-118): Measuring System Performance by Lars
N. Kestner
Optimization in new portfolio backtester
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