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



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Dingo,
Thats why i think the user should have the capability to have a "user defined" benchmark..If one can create it with ATC,and its in the database how would it be any different that choosing the S&P500???
Please excuse me if i am way off as I am just learning the program and am basically a programming numnut.

Allan

----- Original Message -----
From: dingo <dingo@xxxxxxxxxxxx>
Date: Tuesday, July 11, 2006 6:38 pm
Subject: RE: [amibroker] Comparitive Buy and Hold returns
> The composite idea is a good one but I'm afraid if you do anything 
> it will 
> become a thing on its own (like everything else)... 
> 
> You'll get requests like: 
> 
> "How about letting us give you the percentages to use of each ticker?" 
> 
> "Why can't we just specify a ticker ( or watchlist or ... ) to use in 
> building the composite?" 
> 
> "Could you make the composite xxxx weighted?" 
> 
> ad naseum. 
> 
> But then I'm the grumpy one.  8-) 
> 
> d 
> 
> 
> 
> 
> 
>  _____  
> 
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] 
> On Behalf 
> Of Tomasz Janeczko 
> Sent: Tuesday, July 11, 2006 5:53 PM 
> To: amibroker@xxxxxxxxxxxxxxx 
> Subject: Re: [amibroker] Comparitive Buy and Hold returns 
> 
> 
> 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 
> correlatedwith 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 
> equalweighted 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 <mailto:dingo@xxxxxxxxxxxx>  
> 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 
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