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Herman,
Something along this lines may be added however there are
some problems.
Some other software I know calculates this so by
dividing initial equity by the number
of stocks under test and investing equal dollar amount into
each one at the very first bar
of analysis range (buy) and selling all of them at the
end.
This is however unrealistic when you are running portfolio
backtest over say 1000 or more symbols.
This is so because you would NEVER open 1000 simultaneous
positions in real life.
Also then the problem of commissions arises (if commission is
not percentage but fixed per trade)
then such super-small trades would generate loss.
At the other end we have an option to open only as many
positions as "maxopenpos" setting.
However then the B&H statistics would NOT represent entire
portfolio but just (first) few stocks under test.
As always the devil is in the details.
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Herman vandenBergen
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, January 13, 2004 11:56
AM
Subject: RE: [amibroker] Portfolio
Trading vs Buy&Hold comparison (TOMASZ)
<FONT face=Arial color=#0000ff
size=2>Yes... perhaps TJ can put something in but I don't know if
there is any traditional way to calculate this stat, so, perhaps users may
want to suggest some ways - I am sure TJ would be more inclined to add this if
he knew exactly what we want.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>btw, Red, Blond, White, rainbow streaks etc. are also very popular
here in Singapore. Looks like the young ones, and not so young ones
:-) don't like Black anymore ...
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>herman.
<FONT face=Tahoma
size=2>-----Original Message-----From: Yuki Taga
[mailto:yukitaga@xxxxxxxxxxxxx]Sent: January 13, 2004 6:48
PMTo: Herman vandenBergenSubject: Re: [amibroker]
Portfolio Trading vs Buy&Hold comparison
(TOMASZ)Hi Herman,Tuesday, January 13,
2004, 7:16:51 PM, you wrote:Hv> Using the Old backtester we had a
nice "System to B H Index", IHv> liked that very much, it usually was
one of the first stats iHv> looked at, and i miss
it.Actually, I liked that very much too. I hope we can prevail
upon TJto include this in the portfolio back tester. Maybe if we
send himsome Tootsie Pops. They are hard to get over here, but you
can findthem if you really want to. (You can find *anything* in
Tokyo, ifyou really want to and have enough coin of the realm, of
course, anda few things you *don't* want to, too.)Red-headed
step children (as well as natural children) are mucheasier to come by
these days. It has been a fad in Japan for manyyears now to have red
hair. Actually, it's not red of course, butmore like what English
speakers might call auburn. We think it lookslike the color of
tea, so we used to call the kids that went in forthis 'cha-patsu'
(literally: tea-hair). But it's not just the kidsanymore.
These days, there is hardly a black-haired person left inJapan over the
age of about 15. I only *slightly* exaggerate, too.It's eerie. Everyone
is red-headed these days -- except for Japaneseblondes of course, and
you never saw anything stranger in your life,believe me.
^^_^^YukiSend BUG REPORTS to
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