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FWIW...
I just had a short exchange with TJ and either of two actions will
prevent this situation on backtests.
Either:
SetOption("AllowPositionShrinking",False);
or
You can also increase "MinShares" setting ...
Thanks for clearing this up Tomasz.
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> Hello,
>
> I have found the reason why your report shows positive avg dollar
profit while showing negative avg PERCENT profit.
>
> Reason is that you are using fixed $30 commissions per trade and
this causes
> that certain trades of that have small position value loose a lot
(in percent).
>
> This influences average PERCENT gain/loss since it is calculated as
AVERAGE of PERCENT profit/loss
> per trade, so this average becomes negative.
>
> See the few top trades from your trade list. Take a look at two
trades IBM and PDG.
> They are all very small (20 and 6 shares respectively) so fixed $30
commission each way generates loss
> of -14.17% and -39.20% respectively.
>
> Now calculating AVERAGE PERCENT p/l is summing % p/l of individual
trades and dividing them by the number of
> trades leads to NEGATIVE percent p/l EVEN though system EARNED money.
>
> This is so because big percent looses happen only on VERY SMALL
trades (trades that have very small dollar value).
> Thus big percent looses in such small trades do not really affect
profit of entire portfolio.
>
>
> Ticker Trade Entry Exit Change Profit Profit % Shares Pos
value Cum Profit # bars Profit/bar MAE/MFE
> SMTC Long 1995-06-01 2,03125 1995-06-02 2,07813 2,31% 401,53
2,01% 9846 19999,69 401,53 2 200,77 0,00% 6,15%
> VRTS Long 1995-06-01 1,28395 1995-06-02 1,25103 -2,56% -572,5
-2,86% 15567 19987,26 -170,96 2 -286,25 -2,56% 0,00%
> COMS Long 1995-06-01 6,67969 1995-06-02 6,8099 1,95% 329,32
1,65% 2990 19972,26 158,36 2 164,66 -0,39% 3,70%
> INTC Long 1995-06-01 7,03125 1995-06-02 7,08594 0,78% 95,26
0,48% 2839 19961,72 253,62 2 47,63 -0,11% 2,89%
> CDWC Long 1995-06-01 6,5 1995-06-02 6,625 1,92% 323,25 1,62%
3066 19929,00 576,87 2 161,63 -2,56% 1,92%
> EMC Long 1995-06-02 2,90625 1995-06-05 2,98438 2,69% 480,7
2,39% 6921 20114,16 1057,57 2 240,35 -2,15% 2,69%
> ORCL Long 1995-06-02 2,62963 1995-06-05 2,74074 4,23% 788,89
3,93% 7640 20090,37 1846,46 2 394,44 -2,82% 4,23%
> AIG Long 1995-06-02 17,9358 1995-06-05 18,4494 2,86% 514,7
2,56% 1119 20070,16 2361,16 2 257,35 -0,11% 3,30%
> VLO Long 1995-06-02 14,406 1995-06-05 14,4898 0,58% 56,59
0,28% 1392 20053,15 2417,75 2 28,29 -0,58% 0,58%
> MBG Long 1995-06-05 34 1995-06-06 33,75 -0,74% -210,25 -1,03%
601 20434,00 2207,5 2 -105,13 -0,74% 0,37%
> STJ Long 1995-06-05 14,75 1995-06-06 14,75 0,00% -60 -0,29%
1385 20428,75 2147,5 2 -30 -0,85% 0,56%
> FHCC Long 1995-06-05 7,875 1995-06-06 7,96875 1,19% 183 0,90%
2592 20412,00 2330,5 2 91,5 0,00% 3,17%
> BDX Long 1995-06-05 14,5313 1995-06-07 14,2813 -1,72% -411
-2,01% 1404 20401,88 1919,5 3 -137 -1,72% 0,00%
> IBM Long 1995-06-05 22,9375 1995-06-07 22,6875 -1,09% -65
-14,17% 20 458,75 1854,5 3 -21,67 -1,91% 1,91%
> EMC Long 1995-06-06 2,9375 1995-06-07 2,90625 -1,06% -276,47
-1,36% 6927 20348,06 1578,03 2 -138,23 -1,06% 1,60%
> IACI Long 1995-06-06 3,4375 1995-06-07 3,5 1,82% 309,75 1,52%
5916 20336,25 1887,78 2 154,88 0,00% 5,45%
> SDS Long 1995-06-06 6,03125 1995-06-07 6,0625 0,52% 45,28
0,22% 3369 20319,28 1933,06 2 22,64 0,00% 2,07%
> PDG Long 1995-06-06 24,875 1995-06-08 25,125 1,01% -58,5
-39,20% 6 149,25 1874,56 3 -19,5 -1,51% 2,01%
> GG Long 1995-06-07 2,90625 1995-06-08 2,90625 0,00% -60 -0,30%
6997 20335,03 1814,56 2 -30 -1,08% 0,00%
> GDW Long 1995-06-07 16,0417 1995-06-08 16,125 0,52% 45,5 0,22%
1266 20308,75 1860,06 2 22,75 -0,52% 1,30%
> Avg profit: Avg % profit:
> +93,0025 -2,17%
>
> Hope this helps.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "Phsst" <phsst@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Monday, December 15, 2003 4:58 AM
> Subject: [amibroker] Re: PositionScore Ideas
>
>
> Chuck,
>
> FWIW, I exported the trade list from the backtest I posted, and then
> processed the trades with my own reporting program that I used prior
> to introduction of Portfolio trading in AB.
>
> The reported Net Profit I posted matched. As did the calculated Risk
> Adj RAR. So the other figures that you found issues with are in
> question (I did not calc those figures in my own program).
>
> I've heard from TJ... apprised him of the figures you pointed out, and
> at his request sent everything related to the backtest to him for
> analysis.
>
> We will see.
>
> Phsst
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxxx> wrote:
> > Greg, Chuck & Gary,
> >
> > No 'bother' Greg.
> >
> > And thanks to Chuck for his hints regarding applying recent negative
> > pullbacks.
> >
> > I haven't heard back from TJ yet concerning the reporting issues of my
> > backtest.
> >
> > Tonight I'll export the trades to XL and at least verify that Net
> > Profit calcs were or were not correct. Also, I have my own program
> > that than take that data and verify Risk Adj RAR.
> >
> > And finally, I'll take a look at the QRSRaw calc that Gary posted to
> > see if it approximates the QRS rank.
> >
> > Phsst
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
> > <chuck_rademacher@x> wrote:
> > > Greg,
> > >
> > > FWIW, I don't think you want to do this (below). I don't see how
> > you can
> > > compare absolute dollar returns for different stocks. I'm sure
> > that you
> > > will want to divide rather than subtract.
> > >
> > > Also, see postings by Phsst regarding the results below. They
> are very
> > > suspect for lots of reasons. You can't have a positive CAR with a
> > negative
> > > average return per trade.
> > >
> > > I'll also let you in on a big secret! I can't provide the exact
> code
> > > (sorry), but I think you will find that negatively applying the
> > return for
> > > the last few days (weeks?) to this formula will dramatically help a
> > > short-term system. In other words, add up the returns like you are
> > already
> > > doing and then subtract the returns for the most recent period.
> > This helps
> > > to buy stocks that have been rising but are experiencing a
pull-back.
> > >
> > > I am trading one fund using this technique and it has been working
> very
> > > well. I'm aware of two other hedge funds that have been trading
> > this way
> > > for more than 15 years and the performance of each has been stellar!
> > > -----Original Message-----
> > > From: Greg [mailto:gregbean@x...]
> > > Sent: Sunday, December 14, 2003 3:06 PM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: Re: [amibroker] Re: PositionScore Ideas
> > >
> > >
> > > Phsst,
> > >
> > > The return doesn't look so good for RSW. Could you please try
> > comparison
> > > using the following formula instead . I'm not sure that the original
> > formula
> > > I provided should have been as a percent. Maybe it makes a
> difference ??
> > >
> > > // RSWraw = .4*(Total Return 13-Week)+.3*(Total Return
> > 26-Week)+.3*(Total
> > > Return 1-Year)
> > > tr13 = 0.4 * (C - Ref(C, -65));
> > > tr26 = 0.3 * (C - Ref(C, -130));
> > > tr52 = 0.3 * (C - Ref(C, -260));
> > > RSWraw = tr13 + tr26 + tr52;
> > > PositionScore = RSWraw;
> > >
> > > Sorry to bother you again.
> > >
> > > Greg
> > >
> > >
> > >
> > >
> > > ----- Original Message -----
> > > From: Phsst
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Sent: Saturday, December 13, 2003 6:30 PM
> > > 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 that
> > might
> > > 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
> > score of 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
> > that of
> > > IBD.
> > > > Could you please do the comparison you offered ?
> > > > >
> > > > > RSW = .4*(Total Return 13-Week)+.3*(Total Return
> > > 26-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").
> > The QP2
> > > QRS
> > > > > value is supposed to be a 'knockoff' of the IBD RS
ranking
> > > score.
> > > > >
> > > > > 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
> > for you
> > > (or
> > > > > anyone else) to measure your calculated RS Rank against
> > QP2's
> > > QRS
> > > > rank.
> > > > >
> > > > > Cheers,
> > > > >
> > > > > Phsst
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa"
> > <advenosa@xxxx>
> > > wrote:
> > > > > > Hi, all:
> > > > > >
> > > > > > I've been experimenting with variuos short term
trading
> > > systems
> > > > > 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 the
> > help
> > > 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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> > > > >
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