PureBytes Links
Trading Reference Links
|
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
> >
>
Content-Description: "AVG certification"
No virus found in this incoming message.
Checked by AVG Free Edition.
Version: 7.5.441 / Virus Database: 268.18.1/690 - Release Date: 2/16/2007 2:25 PM
|