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Hello John,
The multiple backtest reports were a result of me
wanting to test a system on various watchlists. Each watchlist should have only
been traded in a certain fixed time period. This time period was a subset
of the whole test period.
So, instead of consolidating the reports, I wrote
some code that would run a backtest for the whole test period and check to see
if a ticker is a member of the appropriate watchlist in the current bar.
Makes sense ?
See the recent thread labeled "InWatchList
help". You can find the code snippet I used here: <FONT face=Arial
size=2><A
href="">http://groups.yahoo.com/group/amibroker/message/54913
HB
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
john gibb
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, December 17, 2003 5:51
PM
Subject: Re: [amibroker] combining stats
in multiple backtest reports
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
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To unsubscribe from this group, send an email to:<A
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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
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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/
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