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Yuki, Graham
Here is a very simple example:
Create a WL with ^NDX and ^N225 and run the
Buy=DateNum()==1040427;
Sell=DateNum()==1040506;
For ^NDX is an 8-bar trade, for ^N225 is a 4-bar trade.
The same is verified by the Report.
It is more than obvious, I do not see the question...
Settings
Initial Equity: 10000 Periodicity/Positions: Daily/Long
Commissions: 0.50 % Annual interest rate: 0.00%
Range: All quotations Apply to: Filter
Include Filter Exclude Filter
Market - Market -
Group - Group Group 253
Sector - Sector -
Industry - Industry -
Watch list 1 Watch list -
Index - Index -
Favourite - Favourite -
Margin requirement: 100 Futures mode: No
Def. round lot size: 0 Def. Tick Size 0
Drawdowns based on: Open 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: 10.00 Value: 20.00
Exit at stop? yes Exit at stop? no
Trailing stop: disabled
Value: 5.00
Exit at stop? no
Formula
Buy=DateNum()==1040427;
Sell=DateNum()==1040506;
Overall performance summary
Total net profit: -1109.21 Total commissions paid: 194.43
Return on account: -5.55 % Open position gain/loss 0.00
Buy&Hold profit: -10093.27 Bars (avg. days) in test: 2222 (1632)
Buy&Hold % return: -50.47% System to Buy&Hold index: 89.01%
Annual system % return: -1.27% Annual B&H % return: -14.54%
System drawdown: -477.70 B&H drawdown: -7828.14
Max. system drawdown: -477.70 B&H max. drawdown: -10344.98
Max. system % drawdown: -4.78% B&H max. % drawdown: -82.57%
Max. trade drawdown: -477.70
Max. trade % drawdown: -4.78%
Trade drawdown: -477.70
Total number of trades: 2 Percent profitable: 0.0%
Number winning trades: 0 Number losing trades: 2
Profit of winners: 0.00 Loss of losers: -1109.21
Total # of bars in winners: 0 Total # of bars in losers: 12
Commissions paid in winners: 0.00 Commissions paid in losers:
194.43
Largest winning trade: 0.00 Largest losing trade: -574.81
# of bars in largest winner: 0 # bars in largest loser: 4
Commission paid in largest winner: 0.00 Commission paid in largest
loser: 97.11
Average winning trade: N/A Average losing trade: -554.60
Avg. # of bars in winners: N/A Avg. # bars in losers: 6.0
Avg. commission paid in winner: N/A Avg. commission paid in loser:
97.22
Max consec. winners: 0 Max consec. losers: 1
Bars out of the market: 2210 Interest earned: 0.00
Exposure: 0.5% Risk adjusted ann. return: -234.79%
Ratio avg win/avg loss: N/A Avg. trade (win & loss): -554.60
Profit factor: 0.00
Performance for ^N225
Total net profit: -574.81 Total commissions paid: 97.11
Return on account: -5.75 % Open position gain/loss 0.00
Buy&Hold profit: -3963.17 Bars (days) in test: 1101 (1632)
Buy&Hold % return: -39.63% System to Buy&Hold index: 85.50%
Annual system % return: -1.32% Annual B&H % return: -10.67%
System drawdown: -477.70 B&H drawdown: -5915.29
Max. system drawdown: -477.70 B&H max. drawdown: -6866.48
Max. system % drawdown: -4.78% B&H max. % drawdown: -62.67%
Max. trade drawdown: -477.70
Max. trade % drawdown: -4.78%
Trade drawdown: -477.70
Total number of trades: 1 Percent profitable: 0.0%
Number winning trades: 0 Number losing trades: 1
Profit of winners: 0.00 Loss of losers: -574.81
Total # of bars in winners: 0 Total # of bars in losers: 4
Commissions paid in winners: 0.00 Commissions paid in losers: 97.11
Largest winning trade: 0.00 Largest losing trade: -574.81
# of bars in largest winner: 0 # bars in largest loser: 4
Commission paid in largest winner: 0.00 Commission paid in largest
loser: 97.11
Average winning trade: N/A Average losing trade: -574.81
Avg. # of bars in winners: N/A Avg. # bars in losers: 4.0
Avg. commission paid in winner: N/A Avg. commission paid in loser:
97.11
Max consec. winners: 0 Max consec. losers: 1
Bars out of the market: 1097 Interest earned: 0.00
Exposure: 0.4% Risk adjusted ann. return: -362.03%
Ratio avg win/avg loss: N/A Avg. trade (win & loss): -574.81
Profit factor: 0.00
Trade list for ^N225
Trade Entry date Exit date Net Profit Equity value
Long 28/4/2004 7/5/2004 -574.81 9425.19
Performance for ^NDX
Total net profit: -534.39 Total commissions paid: 97.32
Return on account: -5.34 % Open position gain/loss 0.00
Buy&Hold profit: -6130.11 Bars (days) in test: 1121 (1632)
Buy&Hold % return: -61.30% System to Buy&Hold index: 91.28%
Annual system % return: -1.22% Annual B&H % return: -19.13%
System drawdown: -450.49 B&H drawdown: -7828.14
Max. system drawdown: -450.49 B&H max. drawdown: -10344.98
Max. system % drawdown: -4.50% B&H max. % drawdown: -82.57%
Max. trade drawdown: -450.49
Max. trade % drawdown: -4.50%
Trade drawdown: -450.49
Total number of trades: 1 Percent profitable: 0.0%
Number winning trades: 0 Number losing trades: 1
Profit of winners: 0.00 Loss of losers: -534.39
Total # of bars in winners: 0 Total # of bars in losers: 8
Commissions paid in winners: 0.00 Commissions paid in losers: 97.32
Largest winning trade: 0.00 Largest losing trade: -534.39
# of bars in largest winner: 0 # bars in largest loser: 8
Commission paid in largest winner: 0.00 Commission paid in largest
loser: 97.32
Average winning trade: N/A Average losing trade: -534.39
Avg. # of bars in winners: N/A Avg. # bars in losers: 8.0
Avg. commission paid in winner: N/A Avg. commission paid in loser:
97.32
Max consec. winners: 0 Max consec. losers: 1
Bars out of the market: 1113 Interest earned: 0.00
Exposure: 0.7% Risk adjusted ann. return: -171.06%
Ratio avg win/avg loss: N/A Avg. trade (win & loss): -534.39
Profit factor: 0.00
Trade list for ^NDX
Trade Entry date Exit date Net Profit Equity value
Long 28/4/2004 7/5/2004 -534.39 9465.61
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, Yuki Taga <yukitaga@xxxx> wrote:
> Hi Graham,
>
> Wednesday, June 23, 2004, 9:35:00 PM, you wrote:
>
> G> Unless you have another stock that is referenced in the test and
> G> this has data during that period and it is using this time
period.
>
> Yes, this is undoubtedly the problem. There are other stocks in
> there that are being referenced.
>
> G> Strictly speaking the trade is 6 bars long, even though no
trades were
> G> possible for 5 bars. If you had held that stock, it would be 6
days.
>
> But we are talking bars here, not days. The stock was not available
> to trade. There are no bars for the stock between the buy and the
> sell. There are just other stocks in the test that have bars on
> those dates. But not this one. I see this as a two-bar trade. An
> unusual one, but the back tester (IMO) should consider bars on a
> stock-by-stock basis in this case. It seems not to do so.
>
> Yuki
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