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Mark,
I backtested this year by year. Starting each year
with 100,000.
Here are the results.
Year 2000 Annual return =
51.2% Max system drawdown = 34.98
Profit = 50440
Year 2001 Annual return =
7.22% Max system drawdown = 31.30
Profit = 7181
Year 2002 Annual return =
-4.47% Max system drawdown = 28.91
Loss = 4446
Year 2003 Annual return =
64.30% Max system drawdown =
19.22 Profit =
63851
Year 2004 Annual return =
48.68% Max system drawdown =
10.03 Profit =
48518
Year 2005 Annual return =
-7.20% Max system drawdown =
22.17
Loss = 7126
Year 2006 Annual return =
92.82% Max system drawdown = 3.78
Profit = 29934
Total profit = 188,354
If you don't count this year the average would be
31684 per year.
Just thought that it was interesting.
Tom
Subject: RE: [amibroker] Re: Is this a
good system?
Oh
Forgot to ask
What time frame are you testing
this?
1999-2003? Or 2003-2006?
That makes a difference
too, if you get large draw down during an up market
then there are even
bigger issues I would think with the
system
Mark
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of professor77747
Sent:
Friday, May 26, 2006 3:31 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject:
[amibroker] Re: Is this a good system?
I have these results with my
formula. However, the Max trade
Drawdown is 34.98%. Is this a good result?
Since I trade hold only 4
postitions at once and use max 25% of equity per
position, it is a
very agressive formula. I could reduce the exposure but
my annual
return is less.
All
trades
Initial capital 100000.00
Ending
capital 527941.58
Net
Profit 427941.58
Net Profit
% 427.94 %
Exposure
% 84.22 %
Net Risk Adjusted Return
% 508.12 %
Annual Return
% 30.44 %
Risk Adjusted Return
% 36.15
%
________________________________________
All
trades 108
Avg.
Profit/Loss 3962.42
Avg. Profit/Loss
% 1.72 %
Avg. Bars
Held
13.46
________________________________________
Winners
76 (70.37 %)
Total Profit 860539.60
Avg.
Profit 11322.89
Avg. Profit
% 4.37 %
Avg. Bars
Held 10.89
Max.
Consecutive 15
Largest
win 50243.12
# bars in largest
win
12
________________________________________
Losers
32 (29.63 %)
Total Loss -432598.01
Avg.
Loss -13518.69
Avg. Loss
% -4.58 %
Avg. Bars
Held 19.56
Max.
Consecutive 3
Largest
loss -76031.78
# bars in largest
loss
21
________________________________________
Max. trade
drawdown -98491.02
Max. trade %
drawdown -34.98 %
Max. system
drawdown -142584.38
Max. system %
drawdown -34.42 %
Recovery
Factor
3.00
CAR/MaxDD
0.88
RAR/MaxDD 1.05
Profit
Factor 1.99
Payoff
Ratio 0.84
Standard
Error 50664.90
Risk-Reward
Ratio 1.48
Ulcer
Index 13.85
Ulcer Performance
Index 1.81
Sharpe Ratio of
trades
1.17
K-Ratio
0.07
Thanks,
Tom
--- In amibroker@xxxxxxxxxxxxxxx, "MailYahoo"
<MailYahoo@xxx> wrote:
>
> To me this system is something I
would not touch
>
> 15.25% annual Return
>
> And a
Max trade Drawdown of 47.87%
> That means that yours system lost almost
half the money on one
trade
> Max System DD 17.27% to me means
that you are having huge swings
of profit
> and looses
>
> So if you started with 10k and traded one stock per say
>
You could loose as much as $4787 on that trade, but over time,
looks like
> you ran this for several years? You will
have a few large
winners and
> losers and loose sleep over the
looses hoping that you find a big
winner to
> get you the 15% annual
rate of return this system is suppose to
give you
>
> Maybe I
am wrong that is how I read this
> Not going into each line item
either
>
> Here is something I have been working on to give you
something to
compare
> yours with
> Starting with 30k
>
> Max. trade drawdown
-8260.60
> Max. trade %
drawdown -17.54 %
> Max. system drawdown
-18002.66
> Max. system %
drawdown -12.74 %
> Recovery Factor
7.57
>
CAR/MaxDD
2.59
>
RAR/MaxDD
4.96
> Profit
Factor
7.40
> Payoff
Ratio
2.66
>
Standard Error
11579.83
> Risk-Reward
Ratio
2.06
> Ulcer
Index
4.56
>
Ulcer Performance Index
6.07
> Sharpe Ratio of
trades 1.48
> K-Ratio
0.09
>
>
> Net Profit %
454.11 %
>
Exposure %
52.27
%
> Net Risk Adjusted Return
% 868.82 %
> Annual Return %
33.06
%
> Risk Adjusted Return
% 63.25
%
>
> The above is for
1/6/97- 1/3/03
> YES I am testing this out over the good and bad of the
last market
cycle
>
>
>
>
>
-----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of
jacklweinberg
> Sent: Friday, May 26, 2006 11:06 AM
> To:
amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Is this a good
system?
>
> Hello:
> Could someone please comment on these
results (taken from the
> AmiBroker Report output) for a stock trading
system:
> Max. trade drawdown -8250.00
> Max. trade % drawdown
-41.87
> Max. system drawdown -36639.00
> Max.
system % drawdown -17.27
> Recovery Factor 7.33
>
CAR/MaxDD 0.88
> RAR/MaxDD 3.31
> Profit Factor
1.71
> Payoff Ratio 1.67
> Standard Error 21810.03
> Risk-Reward Ratio 2.09
> Ulcer Index 4.14
>
Ulcer Performance Index 2.38
> Sharpe Ratio of trades 0.89
> K-Ratio 0.09
> The profitability of this system appears to be
quite good:
> Net Profit % 134.36
> Exposure % 26.68
> Net Risk Adjusted Return % 503.58
> Annual Return
% 15.25
> Risk Adjusted Return % 57.16
>
> Thanks
in advance for your comments.
>
>
>
>
>
>
>
> Please note that this group is for discussion
between users only.
>
> To get support from AmiBroker please send
an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For
other support material please check also:
> http://www.amibroker.com/support.html
>
>
> Yahoo! Groups
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>
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