|
PureBytes Links
Trading Reference Links
|
Hi HB,
can you share how you 'consolidated' your testing
and/or results?
thanks,
-john
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
HB
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, December 17, 2003 1:34
PM
Subject: Re: [amibroker] combining stats
in multiple backtest reports
Never mind. I found a way to run one
backtest so I don't need this functionality any more.
HB
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
HB
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, December 16, 2003 10:48
AM
Subject: [amibroker] combining stats in
multiple backtest reports
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>?Send
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page:
<A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
To visit your group on the web, go to:<A
href="">http://groups.yahoo.com/group/amibroker/
To unsubscribe from this group, send an email to:<A
href="">amibroker-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Send BUG REPORTS to
bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
To visit your group on the web, go to:<A
href="">http://groups.yahoo.com/group/amibroker/
To unsubscribe from this group, send an email to:<A
href="">amibroker-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
To visit your group on the web, go to:http://groups.yahoo.com/group/amibroker/
To unsubscribe from this group, send an email to:amibroker-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|