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Nice idea Michael,
herman
Monday, April 9, 2007, 8:37:10 AM, you wrote:
> 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
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