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<FONT face=Arial color=#0000ff
size=2>Phsst,
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>1. I'll take some more time later in the day to answer your
questions regarding some of the metrics in the report.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>2. A good Sharpe ratio is around 1.0. I think
that 2.0 is as good as it gets. You CANNOT have a negaitve
Sharpe ratio with positive returns. This was the first clue to a
problem.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>3. You CANNOT have a profitable system that has (around) 50% win
rate with 3% average profits and 11% average losses. The math simply
doesn't work.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>4. I can't imagine that the problem is in your AFL, but who
knows?
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>5. The problem (with your results) that I was having was
that everyone else seemed to be very impressed. I looked
at your stats (before various positive comments were posted) and didn't see
anything to get excited about. Then, others started commenting on
how good they looked, so I had another look. It was then that I
discovered the contradictions in the results.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>6. I was not being critical of your work, by any means. I was
just trying to understand how it happened.
<FONT face=Arial color=#0000ff
size=2>
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Phsst
[mailto:phsst@xxxxxxxxx]Sent: Sunday, December 14, 2003 1:36
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Chuck - Understanding Portfolio Backtest Reports ..was..Re: PositionScore
IdeasChuck,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.> > <A
href="">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.> > <A
href="">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> >
> >> > >
>> > > >
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href="">http://www.grisoft.com).>
> > > Version: 6.0.543 / Virus Database: 337
- Release Date:> 11/21/2003>
> >> >
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