|
PureBytes Links
Trading Reference Links
|
I am not sure how to properly read all the results ratios in backtesting,
especially if you are looking for "lower the better". One is the standard
error and I am not sure what is a low value and what is high. Could this be
related back to equity or trade size to provide a guideline.
Example
I have developed a system that provides good returns in backtest and all
except the K ratio are ok (this is <1 although I am not worried about this
unless I can also figure out what it means as well). But back to my query
My trade size in the backtest was $4k and Starting capital $20k, and the
standard error was about 2k
Here is the backtest report, can anyone tell me if the ratios are any good
as I have no experience in using them. I am very much a novice in using
actual mechanical systems.
Initial capital 20000
Ending capital 47745.3
Net Profit 27745.3
Net Profit % 138.73%
Exposure % 61.51%
Net Risk Adjusted Return % 225.54%
Annual Return % 139.30%
Risk Adjusted Return % 226.47%
All trades 81
Avg. Profit/Loss 342.53
Avg. Profit/Loss % 8.56%
Avg. Bars Held 15.68
Winners 51 (62.96 %)
Total Profit 33013.34
Avg. Profit 647.32
Avg. Profit % 16.18%
Avg. Bars Held 19.43
Max. Consecutive 7
Largest win 3315.43
# bars in largest win 55
Losers 30 (37.04 %)
Total Loss -5268.04
Avg. Loss -175.6
Avg. Loss % -4.39%
Avg. Bars Held 9.3
Max. Consecutive 3
Largest loss -747.3
# bars in largest loss 60
Max. trade drawdown -904.59
Max. trade % drawdown -18.01%
Max. system drawdown -3242.34
Max. system % drawdown -7.23%
Recovery Factor 8.56
CAR/MaxDD 19.27
RAR/MaxDD 31.33
Profit Factor 6.27
Payoff Ratio 3.69
Standard Error 2158.64
Risk-Reward Ratio 11.54
Ulcer Index 2.5
Ulcer Performance Index 53.61
Sharpe Ratio of trades 1.79
K-Ratio 0.21
Cheers,
Graham
http://e-wire.net.au/~eb_kavan/
------------------------ Yahoo! Groups Sponsor --------------------~-->
$9.95 domain names from Yahoo!. Register anything.
http://us.click.yahoo.com/J8kdrA/y20IAA/yQLSAA/GHeqlB/TM
--------------------------------------------------------------------~->
Check AmiBroker web page at:
http://www.amibroker.com/
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:
http://docs.yahoo.com/info/terms/
|