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[amibroker] Re: Adding Buy & Hold Metric to backtest



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Brian,

I want to add a custom metric to compare my total portfolio versus a
selected index. My guess was that I would write the first and last
entry date of my portfolio back test as a (static?)variable and then
take the ROC to compare with the portfolio's return. From there I
could expand to compare drawdown etc. However, I am no sure if that is
the best or most efficient way to compare.

Dingo mentioned a security by security comparison but I want to use
the total portfolio relative to a buy and hold as that is more
appropriate for what I want to measure.

I am open to ideas.

Thanks
DM


--- In amibroker@xxxxxxxxxxxxxxx, "brian.z123" <brian.z123@xxx> wrote:
>
> 
> Hello DM,
> 
> I haven't tried it but I have theoretically considered the *problem* 
> in the past and I came to the conclusion if your buy = = the close on 
> the start date of your test period and your sell = = the close on the 
> last day of your test period you would have it (MM set to buy 100% of 
> equity).
> 
> If you just want it as a reference or cross comparison to your system 
> backtest results then add code to an Exploration to perform the above 
> task for all symbols for the test period and print the output list.
> 
> I do have *indicators* that I use to visually compare the evaluation 
> metrics for the full test period (I view them in charts and/or add 
> them to Explorations) e.g. Win/Loss ratio, Profit Factor (gross 
> profit/loss method or Win/Loss ratio method).
> What they tell me is what the PF would have been if I had bought and 
> held compared to trading my system.
> 
> I assume any of the back-test metrics can be converted to the 
> equivalent buy/hold return for comparison with your system metrics.
> 
> Let me know if you are interested in that approach and I will post 
> something.
> 
> I have only done the above two at this stage but the easier metrics 
> in the backtest report shouldn't be hard to achieve.
> 
> Regards,
> 
> BrianB2.
> 
> 
> 
> 
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "dmcleod1981" <dmcleod1981@> 
> wrote:
> >
> > I may be using the wrong key words when I am searching but I can't 
> find 
> > any previous samples that show how to add the buy and hold return 
> > during the back test period. If someone has any snippets or can 
> > reference a post number I would be greatful. 
> > 
> > Thanks
> > DM
> >
>



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