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Phsst,
I'll just carry forward what others have shared, but I'd love to read responses from Fred, Chuck, Howard, and Mark in terms of their opinions and usage if they have the time/inclination.
The big headline to share is on Sharpe and UPI, IMHO. Both are risk-adjusted measures of the equity curve, but look at it from different perspectives. Sharpe penalizes both positive and negative volatility, whereas UPI penalizes only negative volatility (i.e. drawdowns). For this reason, I choose to look at UPI becuase I personally don't mind positive volatility (ie. big gains in short period of time). CAR/MaxDD is a quick, back of the envelope calculation that will get you in the same ballpark as UPI.
Also understand that money market will have the best (i.e. infinity) Sharpe and UPI because you have no volatility in the equity curve. Of course, we are not interested 0.5% CAR so we cast aside MM. No guts, no glory.
Hope this helps,
GaryPhsst <phsst@xxxxxxxxx> wrote:
Chuck,As you can see, I've changed the Subject because I think we may havean opportunity thru your questions to get better insight into reportedfigures on the backtester report.If you reply, and I certainly hope that you do, just drop your namefrom the Subject.You are right... there are some things very wrong with the backtestreports that I posted, and I had not noticed them until you pointedthem out.Specifically:CR> 1. Both of them show nice annual returns (89-140%).Annual returns this high should be treated with suspicion and causethe system developer to be extra vigilant in analyzing the reportedfigures. Unfortunately I failed to notice the discrepancies that younoted. You can bet that I'll be more vigilant in the future, lookingspecifically at those figures you zeroed in
on.CR> 2. Yet, the average p/l is negative (2-4%).I thought I might have made a mistake copying/pasting on this one, butI have verified that the actual backtest report contained these figures.CR> 3. The Sharpe ratio is negative.I have to plead ignorance here. I've read as much as is available inthe documentation relating to the Sharpe ratio (among others). Butwhen I am unable to get a clear idea of exactly how to interpret someof these metrics then I tend to just ignore them on the backtest report. I would really like to see a dialog on this forum related to the realvalue of Sharpe, Ulcer, etc.CR> 4. The average win is 3%.Same response as #2.CR> 5. The average loss is 10-11%.Same response as #2.CR> What's the story???Good question Chuck.In addition to posting this response, I'll send TJ the actual
backtestreport(s) to see if there is a rational explanation for the reportedfigures which he could post here, or if it is a genuine bug.If TJ needs the code, I'll be glad to send it to him.If there is a problem with my backtest AFL code, then I'd want tounderstand what coding conditions could cause this.Anyway, thanks for taking a critical look at the figures.Do you suppose that you and others who have good insight into thereported metrics could help the rest of us better understand how tointerpret the last eleven (11) reported figures on the Backtest Report?Regards,Phsst--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"<chuck_rademacher@x> wrote:> Phsst,> > There seems to be something radically wrong with your stats (below):> > 1. Both of them show nice annual returns (89-140%).> > 2. Yet, the average p/l is negative
(2-4%).> > 3. The Sharpe ratio is negative.> > 4. The average win is 3%.> > 5. The average loss is 10-11%.> > What's the story???> -----Original Message-----> From: Phsst [mailto:phsst@xxxx]> Sent: Saturday, December 13, 2003 5:31 PM> To: amibroker@xxxxxxxxxxxxxxx> Subject: [amibroker] Re: PositionScore Ideas> > > Greg,> > This backtest comparison is for illustrative purposes only. I make no> claims regarding these test results other than the AFL and Setup> criteria was identical for both tests. The only difference was the> assignment of PositionScore = QRS versus PositionScore = RSW.> > NOTE:> > // RSW = .4*(Total Return
13-Week)+.3*(Total Return 26-Week)+.3*(Total> Return 1-Year)> tr13 = 0.4 * (C - Ref(C, -65)) / Ref(C, -65) * 100;> tr26 = 0.3 * (C - Ref(C, -130)) / Ref(C, -130) * 100;> tr52 = 0.3 * (C - Ref(C, -260)) / Ref(C, -260) * 100;> RSW = tr13 + tr26 + tr52;> PositionScore = RSW;> > Date Range 6/1/1995 to Present (No QRS scores exist prior to this)> > Direct comparison:> > RSW SCORE QRS SCORE> Long trades Long trades> Initial capital 100000 100000>
Ending capital 22984180 190338380> Net Profit 22884180 190238380> Net Profit % 22884.18% 190238.38%> Exposure % 94.25% 94.16%> Net RAR % 24280.98% 202035.63%> Annual Return % 89.07% 142.19%> Risk Adj Retn % 94.50% 151.01%> > All trades 7431 (100.00 %) 7487
(100.00 %)> Avg. Profit/Loss 3079.56 25409.16> Avg. Profit/Loss % -4.16% -2.88%> Avg. Bars Held 2.65 2.63> > Winners 3829 (51.53 %) 4066 (54.31 %)> Total Profit 64437022.92 436648089.7> Avg. Profit 16828.68 107390.09> Avg. Profit % 3.10% 3.13%> Avg. Bars Held
2.33 2.33> Max. Consecutive 17 17> Largest win 978262.15 7798920.06> # bars in largest win 2 2> > Losers 3602 (48.47 %) 3421 (45.69 %)> Total Loss -41552842.92 -246409709.4> Avg. Loss -11536.05 -72028.56> Avg. Loss % -11.88% -10.03%> Avg. Bars Held
2.98 2.99> Max. Consecutive 13 12> Largest loss -542767 -4301835.5> # bars in largest loss 6 6> > Max. trade drawdown -610851.92 -4864832.72> Max. trade % drawdown -98.69% -99.67%> Max. system drawdown -2119041.36 -15587244.83> Max. system % drawdown -34.68%
-27.63%> Recovery Factor 10.8 12.2> CAR/MaxDD 2.57 5.15> RAR/MaxDD 2.72 5.46> Profit Factor 1.55 1.77> Payoff Ratio 1.46 1.49> Standard Error 2982472.3 25676798.01> Risk-Reward Ratio 0.44 0.38> Ulcer Index
12.1 7.64> Ulcer Performance Index 6.92 17.9> Sharpe Ratio of trades -0.72 -0.86> K-Ratio 1.09 0.93> > FWIW, I have some other systems / variations that I'll run a RSW vs.> QRS comparison on. If there are any notable improvements to the RSW> results, I'll post them.> > Regards,> > Phsst> > --- In amibroker@xxxxxxxxxxxxxxx, "Greg" <gregbean@xxxx> wrote:> > Phsst,> >> > Yes I
think it is (Total Return 13-Week) means (Pct Price gain in> > 13-Weeks). The terms are from ValueLine, I think.> > http://www.valueline.com/> >> > IBD definition of Relative Strength:> >> > Relative Price Strength (RS) Rating or Relative StrengthThis IBD> SmartSelect® Corporate Rating measures each stock's price performance> over the latest twelve months compared to all other stocks. The rating> scale ranges from 1 (lowest) to 99 (highest). Stocks rating below 70> indicate weaker or more laggard relative price performance.> > http://www.investors.com/> >> >> > Greg>
>> > ----- Original Message -----> > From: Phsst> > To: amibroker@xxxxxxxxxxxxxxx> > Sent: Saturday, December 13, 2003 4:52 PM> > Subject: [amibroker] Re: PositionScore Ideas> >> >> > Greg,> >> > I'll be happy to do a comparison on just about anything thatmight be> > comparable to IDB's RS Rank.> >> > I assume that (Total Return 13-Week) means (Pct Price gain in> > 13-Weeks), and so on?> >> > Worth noting here, that IDB's RS Rank is a score between 1 and 100> > that
ranks each particular stock against the whole mkt for the> past year.> >> > But for positionscore pusposes, we are not limited to a scoreof 1 -> > 100, so I can do the raw comparison of results from your formula> to QRS.> >> > I'll post back later under this same Subject.> >> > Regards> >> > Phsst> >> >> > --- In amibroker@xxxxxxxxxxxxxxx, "Greg" <gregbean@xxxx> wrote:> > > Hi Phsst.> > >> > > Here is a formula that I have been told closely follows thatof IBD.>
> Could you please do the comparison you offered ?> > >> > > RSW = .4*(Total Return 13-Week)+.3*(Total Return26-Week)+.3*(Total> > Return 1-Year)> > >> > > Thanks,> > > Greg> > > ----- Original Message -----> > > From: Phsst> > > To: amibroker@xxxxxxxxxxxxxxx> > > Sent: Saturday, December 13, 2003 1:26 PM> > > Subject: [amibroker] Re: PositionScore Ideas> > >> > >> > >
Al,> > >> > > My favorite is the QP2 QRS value (GetExtraData("QRS"). TheQP2 QRS> > > value is supposed to be a 'knockoff' of the IBD RS rankingscore.> > >> > > I almost always get a significant boost using this ranking> figure as> > > as the positionscore.> > >> > > If you do not have QP2, but have any ideas about how to do> your own RS> > > Rank calculation, I'd be happy to run some comparisons foryou (or> > > anyone else) to measure your calculated RS Rank againstQP2's
QRS> > rank.> > >> > > Cheers,> > >> > > Phsst> > > --- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx>> wrote:> > > > Hi, all:> > > >> > > > I've been experimenting with variuos short term tradingsystems> > > lately (average trade durations of about 2.5 days), and I was> looking> > > for ideas on how best to rank a watchlist to get the best> candidates> > >
for portfolio trading a basket of 4 stocks. I was wondering if> anyone> > > would care to share any ideas on how you use the PositionScore> > > function to rank your candidate list (using regular mode, not> > > rotational mode). I've tried combinations of turnover and> volatility,> > > but I'd like to try other ideas. I'm not asking anyone to give> away> > > any secrets, and, yes, I am aware of TJ's example in thehelp file> > > (PositionScore = 100 -RSI());), but I was just looking for> more ideas.> > > I'm not even sure if this question is too vague or not. If
it> is, I'm> > > sure you'll tell me. TIA.> > > >> > > > Al Venosa> > > > advenosa@xxxx> > > >> > > >> > > > ---> > > > Outgoing mail is certified Virus Free.> > > > Checked by AVG anti-virus system (http://www.grisoft.com).> > > > Version: 6.0.543 / Virus Database: 337 - Release Date:> 11/21/2003> > >> > >>
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