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Hello,
It is described IN THE READ
ME:
Known differencies between statistics produced by 'old' and 'new'
(portfolio) backtester
Old backtester
New (portfolio) backtester
System and trade drawdown calculations based on
Open/Close/H-L range (worst case) selectable in settings
Close price only (regardless of settings) - subject to change
Max. % trade drawdown
Calculated based on total equity
Calculated based on ACTUAL trade value at entry point.
Stats available
for all trades only
separately for long, short and all trades
Futures backtesting (MarginDeposit, TickSize, PointValue)
Supported
Supported (from 4.48.0)
PositionSizing
Based on individual symbol equity
Based on portfolio equity.
PositionSize = -25;
will enter 25% of current porfolio equity
Trade statistics
Include only closed trades, open trade is reported separately
Include all trades (closed and those still open at the end of analysis
period). Any open trades are closed out at 'close' price always.
Exposure
calculated regardless of position size (no matter on what is position
size if trade is taken for particular bar it assumes 100% exposure at that
bar)
calculations include now (in 4.43.0) the
total amount of open positions compared to total portfolio equity.
Exposure is calculated on bar by bar basis so if only 50% funds are in
open trade, then exposure for this bar is 0.5. Then individual bar
exposures are summed up and divided by number of bars to produce exposure
figure. This way true market exposure is calculated.
Multiple security testing
N independent accounts (multiple single equity)
Portfolio equity common to all symbols under
test
Hope this helps.
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Ara Kaloustian
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">Ami-Main
Sent: Wednesday, December 03, 2003 7:07
AM
Subject: [amibroker] Backtest
comparison
I am just starting to look into the wonderful new
backtester ... report is really terrific... Tomasz, thanks for your wonderful
product!
Problem / Question:
I tested a single stock with both old and new
testers. The profit numbers matched Ok, but the exposure was way
off.
Old: Exposure = 20.5%
New: Exposure = 13.81%
Of course the calculations based on these
parameters are also off
Anyone experience this?
AraSend
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