|
PureBytes Links
Trading Reference Links
|
Hi Herman,
It probably helps if I explain the purpose of the question. Im
looking for the most common statistics used by people on their backtests
for the inclusion in the backtest framework. And because it also
provides some interesting insights from interesting and knowledgeable
people. I understand statistics can be misleading, However the backtest
framework is to enable easy(er) system evaluation - And such detailed
examination can be carried out on systems that at least provide some
promising looking statistics up front. As such, I hope to utilize the
most commonly used statistics for this purpose.
I was planning to upload the Backtest framework as some sort of
AmiBroker Community Open Source Project.
Though I'm not sure people would be willing to bother extending my
meager (crude & simple) efforts ;-)
But I'll zip it all together and upload it nonetheless.
Thanks for your insights and viewpoints, Your emails always provide good
information & reading.
ATB
Michael.
Herman wrote:
>
> hi Michael,
>
>
> I forgot to mention Net % profit, I always use that to screen ideas.
>
>
> Never looked once at Standard Error, I just eye-ball the curve :-)
> imo, stats can be very misleading. An uncorrected split or some faulty
> data can make you throw out a really good system. I bet that everyone,
> after looking at their stats will look at their equity curve to
> confirm the stats and see where the DDs were. Doing that first will
> save you time.
>
>
> Run your system in an indicator and you get instantaneous feedback on
> the system's performance. You can display equities by stepping through
> your symbol tree, use a slide show, or a rainbow of ticker equities.
> In two minutes you can scan 100+ stocks and have more practical
> information that analyzing stats for weeks. Of course I assume that
> you have plenty of trades... in RT this is no problem, i often test
> systems that give 5000 - 15000 trades.
>
>
> imo stats are overrated, unless of course you are walking the fine
> edge with a marginal system.
>
>
> best regards,
>
> herman
>
>
>
>
> Monday, April 9, 2007, 6:55:23 AM, you wrote:
>
>
> > Thanks Herman,
>
>
> > Anything else from the list?
>
> > Are you ok translating 3) Equity appearance with Standard error?
>
>
>
> > KR
>
> > Michael.
>
>
> > Herman wrote:
>
>
> >> Using RT and Intraday trades:
>
>
>
> >> 1) Number of trades
>
>
> >> 2) Number of stocks
>
>
> >> 3) Equity appearance
>
>
>
> >> I prefer 5000 trades, 100 stocks, and a straight equity line
>
>
>
> >> Anyone argue with that?
>
>
>
> >> herman
>
>
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
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|