|
PureBytes Links
Trading Reference Links
|
Hello,
This was the reason why I did not include it when I wrote portfolio backtester, but since then
I was considering adding this option for comparison purposes.
One idea (as suggested by Allan) is to use benchmark such as SP500, but it won't be very useful
when testing some small watch lists of stocks that are little correlated with large caps.
Also for some instruments there is no benchmark (see forex for example),
that's why I am thinking about another solution:
creating own "benchmark" by using all symbols under test to create equal weighted composite
and test buy and hold strategy on such artificial composite. This would give you some idea how
well given strategy performs compared to passive investment.
Any comments?
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: dingo
To: amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, July 11, 2006 4:21 PM
Subject: RE: [amibroker] Comparitive Buy and Hold returns
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
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> >
>
|