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Hello,
If I have a series of backtest reports that cover
multiple contiguous time frames, how do I group them together to get a single
total performance summary ?
For some backtester stats, I understand that they
the avg or sum or max/min value should, but for others I'm not sure. I've
pasted all the stats below. Can someone fill in the gaps and correct me if
I've made a mistake ?
Thanks,
HB
<TABLE cellSpacing=0
cellPadding=0 width=293 border=0 x:str>
<COL
width=229>
<TD
width=229 height=17>Initial capital
<TD
width=64>n/a
<TD
height=17>Ending capital
<TD
><FONT
face=Arial size=2>n/a
<TD class=xl24
height=17 x:str="Net Profit"><SPAN
> Net Profit<SPAN
>
<TD
><FONT
face=Arial size=2>sum
<TD
height=17>Net Profit %
<TD
><FONT
face=Arial size=2>n/a
<TD
height=17>Exposure %
<TD
><FONT
face=Arial size=2>?
<TD
height=17>Net Risk Adjusted Return %
<TD
><FONT
face=Arial size=2>?
<TD
height=17>Annual Return %
<TD
><FONT
face=Arial size=2>?
<TD
height=17>Risk Adjusted Return %
<TD
><FONT
face=Arial size=2>?
<TD
height=17>
<TD
><FONT
face=Arial size=2>
<TD
height=17>
<TD
><FONT
face=Arial size=2>
<TD
height=17>All trades
<TD
><FONT
face=Arial size=2>sum
<TD
height=17><SPAN
> Avg. Profit/Loss
<TD
><FONT
face=Arial size=2>avg ?
<TD
height=17><SPAN
> Avg. Profit/Loss %
<TD
><FONT
face=Arial size=2>avg ?
<TD
height=17><SPAN
> Avg. Bars Held
<TD
><FONT
face=Arial size=2>avg ?
<TD
height=17>
<TD
><FONT
face=Arial size=2>
<TD
height=17>
<TD
><FONT
face=Arial size=2>
<TD
height=17>Winners
<TD
><FONT
face=Arial size=2>sum
<TD
height=17><SPAN
> Total Profit
<TD
><FONT
face=Arial size=2>sum ?
<TD
height=17><SPAN
> Avg. Profit
<TD
><FONT
face=Arial size=2>avg ?
<TD
height=17><SPAN
> Avg. Profit %
<TD
><FONT
face=Arial size=2>avg ?
<TD
height=17><SPAN
> Avg. Bars Held
<TD
><FONT
face=Arial size=2>avg ?
<TD
height=17><SPAN
> Max. Consecutive
<TD
><FONT
face=Arial size=2>max ?
<TD
height=17><SPAN
> Largest win
<TD
><FONT
face=Arial size=2>max ?
<TD
height=17><SPAN
> # bars in largest
win
<TD
><FONT
face=Arial size=2>?
<TD
height=17>
<TD
><FONT
face=Arial size=2>
<TD
height=17>
<TD
><FONT
face=Arial size=2>
<TD
height=17>Losers
<TD
><FONT
face=Arial size=2>sum
<TD
height=17><SPAN
> Total Loss
<TD
><FONT
face=Arial size=2>sum ?
<TD
height=17><SPAN
> Avg. Loss
<TD
><FONT
face=Arial size=2>avg ?
<TD
height=17><SPAN
> Avg. Loss %
<TD
><FONT
face=Arial size=2>avg ?
<TD
height=17><SPAN
> Avg. Bars Held
<TD
><FONT
face=Arial size=2>avg ?
<TD
height=17><SPAN
> Max. Consecutive
<TD
><FONT
face=Arial size=2>max ?
<TD
height=17><SPAN
> Largest loss
<TD
><FONT
face=Arial size=2>max ?
<TD
height=17><SPAN
> # bars in largest
loss
<TD
><FONT
face=Arial size=2>?
<TD
height=17>
<TD
><FONT
face=Arial size=2>
<TD
height=17>
<TD
><FONT
face=Arial size=2>
<TD
height=17>Max. trade drawdown
<TD
><FONT
face=Arial size=2>max ?
<TD
height=17>Max. trade % drawdown
<TD
><FONT
face=Arial size=2>max ?
<TD
height=17>Max. system drawdown
<TD
><FONT
face=Arial size=2>max ?
<TD
height=17>Max. system % drawdown
<TD
><FONT
face=Arial size=2>max ?
<TD
height=17>Recovery Factor
<TD
><FONT
face=Arial size=2>?
<TD
height=17>CAR/MaxDD
<TD
><FONT
face=Arial size=2>?
<TD
height=17>RAR/MaxDD
<TD
><FONT
face=Arial size=2>?
<TD
height=17>Profit Factor
<TD
><FONT
face=Arial size=2>?
<TD
height=17>Payoff Ratio
<TD
><FONT
face=Arial size=2>?
<TD
height=17>Standard Error
<TD
><FONT
face=Arial size=2>?
<TD
height=17>Risk-Reward Ratio
<TD
><FONT
face=Arial size=2>?
<TD
height=17>Ulcer Index
<TD
><FONT
face=Arial size=2>?
<TD
height=17>Ulcer Performance Index
<TD
><FONT
face=Arial size=2>?
<TD
height=17>Sharpe Ratio of trades
<TD
><FONT
face=Arial size=2>?
<TD
height=17>K-Ratio
<TD
><FONT
face=Arial size=2>?
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