|
PureBytes Links
Trading Reference Links
|
DM,
I like the question.
I am not sure if you got what you are looking for from Paul's or D's
posts.
To add some spice to the mix!
For comparing ROC or net profit, some quick starting suggestions
(assuming you have your portfolio start and end equity):
1. The index might not be the best *benchmark* especially if it is
weighted.
Another approach would be to take the universe of stocks that you
select your trades from and assume that you buy an equal $ weight of
each (equal % of your equity allocated to each symbol)- calculate
the final $ value of your individual stocks and total them to
produce your benchmark portfolio $ value at the end of the test
period (exploration will handle that part of it).
That is a true comparison because you could have *blindly* bought
each stock in your universe (equal chance) while you actually want to
compare the success of your selections to the unselected basket.
2. If your portfolio involves high turn-over commissions need to be
costed in.
If turnover is low the comparison can be approximated without
commissions.
There would probably be ways to graph the relative portfolios
although to me it might not be worth the effort.
Comment:
It might be necessary to dig a bit further after that as there is a
wide range of metrics to consider.
The hard part is deciding which one leads to the best trading
results.
This is where the discussion really gets started.
Everyone has their favorites.
You need a measure of reward and risk for a meaningful comparison.
Neither ROC nor net profit provide any measure of the risk you are
taking.
Regards,
BrianB2
--- In amibroker@xxxxxxxxxxxxxxx, "dmcleod1981" <dmcleod1981@xxx>
wrote:
>
> 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@> 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
|