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Hi all:
I am trying to get the hang of the Backtester. So far I don't get it, or it is showing bad results.
I run a system and the percent profits and $ profits do not match the figures in the Report. I include a quick summary of what concerns me, then the System tested, then the Settings, then the Report for anyone who cares to scroll through these and help me out here. I would appreciate any pointers here.
SUMMARY
Total Profit = 55.14%
Total Trades = 11
winning Trades = 2
Losing trades = 9
Total Profit of 932 dollars and Total Loss of 5762.
This does not make sense to me. How can the total profits be less than the total loss and yet the system returns 55.14% ???????
Can I trust these? Is backtester off the mark here?
Or what am I doing wrong here?
full results below:
CODE:
SetFormulaName("Channel Breakout");// basic setup as per kaveman Perth
SetBarsRequired(4000,1);
SetTradeDelays(1,1,1,1);
SetOption("initialequity",10000);
PositionSize=2500;
SetOption("MaxOpenPositions",5);
SetOption("PriceBoundChecking",1);
SetOption("CommissionAmount",19.95);
PositionScore = 100/C;
// Channel Breakout //
Line = Ref(C,-1) + (1.2 * Ref(ATR(6),-1));
Buy = Cross(C,Line)
AND ROC(EMA(C,120)) > 50;
Sell = 0;
ApplyStop(2,2, 3 *ATR(15),1);
SETTINGS:
Initial Equity: 10000 Periodicity/Positions: Daily/Long
Commissions: 19.95 per trade Annual interest rate: 5.00%
Range: 599 bars Apply to: All symbols
Margin requirement: 100 Futures mode: No
Def. round lot size: 1 Def. Tick Size 0
Drawdowns based on: Close 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: 0.00 Value: 0.00
Exit at stop? no Exit at stop? no
Trailing stop: disabled
Value: 0.00
Exit at stop? yes
REPORT:
Statistics | Charts | Trades | Formula | Settings | Symbols
Statistics
All trades Long trades Short trades
Initial capital 10000.00 10000.00 10000.00
Ending capital 15514.46 15514.46 20990.33
Net Profit 5514.46 5514.46 10990.33
Net Profit % 55.14 % 55.14 % 109.90 %
Exposure % 2.58 % 2.58 % 0.00 %
Net Risk Adjusted Return % 2137.17 % 2137.17 % N/A
Annual Return % 2.93 % 2.93 % 5.00 %
Risk Adjusted Return % 113.63 % 113.63 % N/A
--------------------------------------------------------------------------------
All trades 11 11 (100.00 %) 0 (0.00 %)
Avg. Profit/Loss -439.03 -439.03 N/A
Avg. Profit/Loss % -17.57 % -17.57 % N/A
Avg. Bars Held 52.27 52.27 N/A
--------------------------------------------------------------------------------
Winners 2 (18.18 %) 2 (18.18 %) 0 (0.00 %)
Total Profit 932.62 932.62 0.00
Avg. Profit 466.31 466.31 N/A
Avg. Profit % 18.65 % 18.65 % N/A
Avg. Bars Held 67.00 67.00 N/A
Max. Consecutive 1 1 0
Largest win 876.37 876.37 0.00
# bars in largest win 49 49 0
--------------------------------------------------------------------------------
Losers 9 (81.82 %) 9 (81.82 %) 0 (0.00 %)
Total Loss -5762.00 -5762.00 0.00
Avg. Loss -640.22 -640.22 N/A
Avg. Loss % -25.62 % -25.62 % N/A
Avg. Bars Held 49.00 49.00 N/A
Max. Consecutive 4 4 0
Largest loss -1391.10 -1391.10 0.00
# bars in largest loss 9 9 0
--------------------------------------------------------------------------------
Max. trade drawdown -1219.88 -1219.88 0.00
Max. trade % drawdown -28.49 % -28.49 % 0.00 %
Max. system drawdown -6038.39 -6038.39 0.00
Max. system % drawdown -28.17 % -28.17 % 0.00 %
Recovery Factor 0.91 0.91 N/A
CAR/MaxDD 0.10 0.10 N/A
RAR/MaxDD 4.03 4.03 N/A
Profit Factor 0.16 0.16 N/A
Payoff Ratio 0.73 0.73 N/A
Standard Error 612.13 612.13 296.91
Risk-Reward Ratio 1.01 1.01 2.42
Ulcer Index 4.00 4.00 0.00
Ulcer Performance Index -0.62 -0.62 N/A
Sharpe Ratio of trades -1.73 -1.73 0.00
K-Ratio 0.07 0.07 0.17
Regards
ChrisB
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