|
PureBytes Links
Trading Reference Links
|
Sid, What data vendor did you use for your test?
I am using TC2000 and get dramatically different results, see stat’s and
settings attached. Thanks,
Larry M. Powell
<font size=3
face="Times New Roman">
---------------------------------------------------------------------
Eliminate annoying spam!
My mailbox is protected by iHateSpam, the #1-rated spam buster.
http://www.ihatespam.net
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 Sponsor
ADVERTISEMENT
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.
Title: StoRSI_3 - Backtest Report
<A
href=""><FONT
class=SELTAB>Statistics | <A
href="">Charts
| <A
href="">Trades
| <A
href="">Formula
| <A
href="">Settings
| <A
href="">Symbols
Statistics
All trades
Long trades
Short trades
Initial capital
10000.00
10000.00
10000.00
Ending capital
233757.35
232218.55
11538.80
Net Profit
223757.35
222218.55
1538.80
Net Profit %
2237.57 %
2222.19 %
15.39 %
<TH
title="Market exposure of the trading system calculated on bar by bar basis. Sum of bar exposures divided by number of bars. Single bar exposure is the value of open positions divided by portfolio equity.">Exposure
%
95.21 %
79.19 %
16.02 %
Net Risk Adjusted Return
%
2350.05 %
2806.10 %
96.04 %
Annual Return %
69.34 %
69.15 %
2.42 %
Risk Adjusted Return
%
72.82 %
87.32 %
15.11 %
All trades
164
111 (67.68 %)
53 (32.32 %)
<TH
title="(Profit of winners + Loss of losers)/(number of trades)"> Avg.
Profit/Loss
1364.37
2001.97
29.03
<TH
title="(% Profit of winners + % Loss of losers)/(number of trades)"> Avg.
Profit/Loss %
10.44 %
16.03 %
-1.26 %
Avg. Bars Held
44.77
54.39
24.62
Winners
111 (67.68 %)
79 (48.17 %)
32 (19.51 %)
Total Profit
392755.02
311938.66
80816.36
Avg. Profit
3538.33
3948.59
2525.51
Avg.
Profit %
23.44 %
27.54 %
13.29 %
Avg. Bars Held
40.98
49.73
19.38
Max. Consecutive
12
21
10
Largest win
48367.55
48367.55
11361.25
# bars in largest win
174
174
12
Losers
53 (32.32 %)
32 (19.51 %)
21 (12.80 %)
Total Loss
-168997.67
-89720.11
-79277.55
Avg. Loss
-3188.64
-2803.75
-3775.12
Avg. Loss
%
-16.78 %
-12.41 %
-23.43 %
Avg. Bars Held
52.70
65.88
32.62
Max. Consecutive
4
4
3
Largest loss
-15323.26
-7873.27
-15323.26
# bars in largest loss
35
109
35
<TH
title="The largest peak to valley decline experienced in any single trade">Max.
trade drawdown
-22382.15
-22382.15
-13675.66
<TH
title="The largest peak to valley percentage decline experienced in any single trade">Max.
trade % drawdown
-71.94 %
-71.94 %
-43.69 %
<TH
title="The largest peak to valley decline experienced in portfolio equity">Max.
system drawdown
-45662.82
-37569.08
-41368.22
<TH
title="The largest peak to valley percentage decline experienced in portfolio equity">Max.
system % drawdown
-32.46 %
-27.09 %
-96.65 %
Recovery Factor
4.90
5.91
0.04
<TH
title="Compound Annual % Return divided by Max. system % drawdown">CAR/MaxDD
2.14
2.55
0.03
<TH
title="Risk Adjusted Return divided by Max. system % drawdown">RAR/MaxDD
2.24
3.22
0.16
Profit Factor
2.32
3.48
1.02
Payoff Ratio
1.11
1.41
0.67
<TH
title="Standard error measures chopiness of equity line. The lower the better.">Standard
Error
18487.19
19655.59
11071.06
<TH
title="Measure of the relation between the risk inherent in a trading the system compared to its potential gain. Higher is better. Calculated as slope of equity line (expected annual return) divided by its standard error. ">Risk-Reward
Ratio
1.99
1.69
0.32
<TH
title="Square root of sum of squared drawdowns divided by number of bars">Ulcer
Index
9.83
8.67
53.61
Ulcer
Performance Index
6.50
7.36
-0.06
<TH
title="Measure of risk adjusted return of investment. Above 1.0 is good, more than 2.0 is excellent.">Sharpe
Ratio of trades
0.43
0.52
-0.22
K-Ratio
3.44
2.92
0.56
Title: StoRSI_3 - Backtest Report
<A
href="">Statistics
| <A
href="">Charts
| <A
href="">Trades
| <A
href="">Formula
| <A
href=""><FONT
class=SELTAB>Settings | <A
href="">Symbols
Settings
Initial Equity:
10000
Periodicity/Positions:
Daily/Long Short
Commissions:
0.50 %
Annual interest rate:
0.00%
Range:
1/2/1998 00:00:00 - 12/31/2003
Apply to:
Filter
Include Filter
Exclude Filter
Market
-
Market
-
Group
12NDX
Group
-
Sector
-
Sector
-
Industry
-
Industry
-
Watch list
-
Watch list
-
Index
-
Index
-
Favourite
-
Favourite
-
Margin requirement:
100
Futures mode:
No
Def. round lot size:
1
Def. Tick Size
0
Drawdowns based on:
High/Low prices
Long trades
Buy price:
Open
Sell price:
Open
Buy delay:
1
Sell delay:
1
Short trades
Short price:
Open
Cover price:
Open
Short delay:
1
Cover delay:
1
Stops
Maximum loss:
disabled
Profit target:
disabled
Value:
21.00
Value:
0.00
Exit at stop?
yes
Exit at stop?
no
Trailing stop:
disabled
Value:
0.00
Exit at stop?
no
|