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Hello,
After looking at these reports I can see that additional money is earned because ANNUAL INTEREST RATE is set to value greater than
zero.
It means that even if your TRADES loose money, the cash remaining on the account EARNS on interest rate set by you.
It is clearly shown by the report on "SHORT ONLY" side. There are no SHORT TRADES at all in your system but still it earns because
of interest earnings.
Please set "annual interest rate" to ZERO in the settings and then TOTAL PROFIT will be equal to the gains-losses of your trades.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "kris45mar" <kris45mar@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, November 06, 2004 12:50 PM
Subject: [amibroker] wrong Backtesting results:
>
>
> 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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>
>
>
>
> Check AmiBroker web page at:
> http://www.amibroker.com/
>
> Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
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>
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>
>
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