PureBytes Links
Trading Reference Links
|
Tomasz
Thank you for the reply, I am very very new at the custom
backtester, so shall have to see if I can modify the example to
suit. If anyone has actually coded the custom backtester to not
compound profits, would they mind sharing how to do it? Thanks.
I thought this may have been supported simply in Amibroker by
setting an option somewhere that I had not managed to find.
I think it is very important to be able to test without compounding
profits for a couple of reasons.
Firstly, if you do compound profits, and use position sizing based
on your current equity, then trades that occur later in the backtest
have a larger weighting on the overall performance of the system
than those that occur earlier because they have larger position
sizes. Even if position sizes are not based on current equity, more
trades can be taken later in the backtest because more equity is
available. So backtest results are always influenced more my trades
that occur later in the test than by those that occur earlier. When
I test I want all trades to have equal influence on the overall
results regardless of when they occurred.
Secondly, performance measures such as K-Ratio that are looking a
straightness of the equity curve, or Sharp Ratio looking for
consistency of returns, will not work correctly if profits are
compounded. A compounded equity curve would ideally be exponential
in shape, not the straight line that K-Ratio is looking for. So for
these type of measures to work correctly it is necessary to use a
fixed float value right through the test.
Thirdly, in real trading, all profits can not be compounded all the
time, as there is a requirement to pay tax on profits (unless you
are luck enough to live in a tax free world!).
These are just my thoughts, I would be interested to hear other
peoples opinions.
Regards
Brenton
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx>
wrote:
>
>
> Hello,
>
> Custom backtester and it is pretty easy.
> This example
> http://www.amibroker.com/kb/2006/03/06/re-balancing-open-positions/
>
> can be easily modifed to achieve what you after.
>
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "Terry" <MagicTH@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Monday, January 08, 2007 4:21 PM
> Subject: RE: [amibroker] Not Compounding profits in backtester
>
>
> > Custom backtest procedure can do this...not a simple project.
> > --
> > Terry
> > -----Original Message-----
> > From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
> > Of brentonfx
> > Sent: Monday, January 08, 2007 05:10
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Not Compounding profits in backtester
> >
> > Hi
> >
> > I there a way to stop the backtester from compounding profits?
> >
> > I want to simulate taking out all of my profits as they are
earned,
> > and continuing to trade with only my initial equity, for example
> > $100k. If I use fixed trade size of say $25k it's easy, I just
set
> > the max open positions to 4. But I want to test a system that
uses
> > variable trade sizes, and if I've taken trades of less than $25k
then
> > I want to be able to take more than 4 trades.
> >
> > If I don't limit the max open positions, the backtester just
takes
> > more and more positions at once as the test progresses and
equity
> > grows, so my market exposure ends up being way more than the
$100k max
> > that I want to limit it to at any time.
> >
> > Is there a way to do this?
> >
> > Thanks
> > Brenton
> >
> >
> >
> >
> > 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > http://www.amibroker.com/devlog/
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
>
Content-Description: "AVG certification"
No virus found in this incoming message.
Checked by AVG Free Edition.
Version: 7.5.432 / Virus Database: 268.16.7/620 - Release Date: 1/8/2007 4:12 PM
|