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RE: [amibroker] Your 5 most important backtest statistics



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Net Profit %
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Avg Profit/Loss %


From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Michael.S.G.
Sent: Monday, 9 April 2007 9:02 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Your 5 most important backtest statistics

[Revised List]

Question for everyone,

What are your 5 most important backtest statistics.

You may choose from the following list (From AB backtest report/statistics)

Number of stocks (new)
Initial capital
Ending capital
Net Profit
Net Profit %
Exposure %
Net Risk Adjusted Return %
Annual Return %
Risk Adjusted Return %

All trades (Number of trades)
Avg. Profit/Loss
Avg. Profit/Loss %
Avg. Bars Held

# of Winners
Total Profit
Avg. Profit
Avg. Profit %
Avg. Bars Held
Max. Consecutive
Largest win
# bars in largest win

# of Losers
Total Loss
Avg. Loss
Avg. Loss %
Avg. Bars Held
Max. Consecutive
Largest loss
# bars in largest loss

Max. trade drawdown
Max. trade % drawdown
Max. system drawdown
Max. system % drawdown
Recovery Factor
CAR/MaxDD
RAR/MaxDD
Profit Factor
Payoff Ratio
Standard Error
Risk-Reward Ratio
Ulcer Index
Ulcer Performance Index
Sharpe Ratio of trades
K-Ratio

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