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RE: [amibroker] Comparitive Buy and Hold returns



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How would you go about calc'ng B&H on an entire portfolio where you used
scoring, etc?
 
d


  _____  

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of allansn@xxxxxxxxxxxxx
Sent: Tuesday, July 11, 2006 8:44 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Comparitive Buy and Hold returns





with that said,I can not find buy and hold returns on the new report....

 

 

 

----- Original Message -----



From: Tomasz Janeczko <groups@xxxxxxxxxxxxx> 



Date: Monday, July 10, 2006 5:08 pm 



Subject: Re: [amibroker] Comparitive Buy and Hold returns 





> Hello, 
> 
> 1. Yes 
> 2. Yes from mathematical standpoint however you would NOT be able 
> to enter that many positions with limited capital 
> so these results are theoretical only. 
> 
> 3. OLD backtester is phased out. It is there only for people who 
> had some resutls from versions 4.40 or earlier stored somewhere and 
> want to reproduce old backtests for some reason. 
> 
> All new code should use NEW portfolio-level backtester only. 
> 
> Best regards, 
> Tomasz Janeczko 
> amibroker.com 
>  ----- Original Message ----- 
>  From: allansn@xxxxxxxxxxxxx 
>  To: amibroker@xxxxxxxxxxxxxxx 
>  Sent: Monday, July 10, 2006 9:59 PM 
>  Subject: Re: [amibroker] Comparitive Buy and Hold returns 
> 
> 
> 
>  So,if the system is a losing system and has a an average loss as 
> opposed to profit,will the result be apx((approx (number of 
> symbols) *  avg. loss ) ?? 
> 
>  Are the buy and hold stats accurate? 
> 
>  Where can i find the definitions for the old backtest?? 
> 
> 
> 
> 
> 
> 
>  ----- Original Message ----- 
> 
> 
>  From: Tomasz Janeczko <groups@xxxxxxxxxxxxx> 
> 
>  Date: Monday, July 10, 2006 2:59 pm 
> 
>  Subject: Re: [amibroker] Comparitive Buy and Hold returns 
> 
> 
>  > Hello, 
>  > 
>  > Please note that OLD backtester is not portfolio backtester. 
>  > It backtests each security *separately* and sums up the 
> results 
>  > so your profits will be much higher (approx (number of 
> symbols) * 
>  > avg. profit ) 
>  > 
>  > Best regards, 
>  > Tomasz Janeczko 
>  > amibroker.com 
>  > ----- Original Message ----- 
>  > From: "matrix10014" <allansn@xxxxxxxxxxxxx> 
>  > To: <amibroker@xxxxxxxxxxxxxxx> 
>  > Sent: Monday, July 10, 2006 6:35 PM 
>  > Subject: [amibroker] Comparitive Buy and Hold returns 
>  > 
>  > 
>  > > Can someone please tell me where in reports you can easily 
> see 
>  > how 
>  > > your system did relative to a buy and hold strategy?? 
>  > > 
>  > > I did see some Buy and Hold stats in the Old backtester,but 
> some 
>  > of 
>  > > the numbers were of by a factor of 10-100.. 
>  > > 
>  > > 
>  > > Total net profit: 532108.89   Total commissions paid: 0.00 
>  > > Return on account: 6.82 %    Open position gain/loss 
> 11931.24 
>  > > Buy&Hold profit: 3657774.41   Bars (avg. days) in test: 
> 13351 
>  > (250) 
>  > > Buy&Hold % return: 46.89%   System to Buy&Hold index: - 
> 85.45% 
>  > >  
>  > > Annual system % return: 10.11%   Annual B&H % return: 75.32% 
>  > >  
>  > > 
>  > > those numbers posted were on a $100,000 account!!I have no 
> idea 
>  > where 
>  > > the total net profit number of 532,108.89 came from..And I 
>  > really dont 
>  > > know how a 532,108 profit only generates a 6.82% return on a 
>  > $100000 
>  > > account 
>  > > 
>  > > Thanks 
>  > > 
>  > > Allan 
>  > > 
>  > > 
>  > > 
>  > > 
>  > > 
>  > > 
>  > > 
>  > > 
>  > > 
>  > > 
>  > > 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 Links 
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>  >  
>