Hello,
Here are your 3 consecutive losses:
| GC___CCB |
Long |
09/01/2006
657.5 |
11/09/2006
648.3 |
-1.40% |
-920.00
-920.00% |
1 |
100.00 |
13470.00 |
49 |
-18.78 |
-10.49%
2.43% |
0/0 |
| GC___CCB |
Short |
11/09/2006
648.3 |
12/27/2006
648.3 |
0.00% |
0.00
0.00% |
1 |
100.00 |
13470.00 |
32 |
0.00 |
-3.98%
2.25% |
0/0 |
| GC___CCB |
Long |
12/27/2006
648.3 |
01/04/2007
648.2 |
-0.02% |
-10.00
-10.00% |
1 |
100.00 |
13460.00 |
5 |
-2.00 |
-0.37%
2.70% |
0/0 |
0% is considered a losing trade.
(There are only 2 categories: winning and losing trades in
the stats, so 0% need to be assigned somewhere. It is safer to assign them to
losing trades, especially that
you did not turn on the commissions!)
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
Sent: Friday, July 20, 2007 7:14
PM
Subject: Re: [amibroker] Re: Drawdown
on Backtest
Tomasz,
I only hold one position at a time. In my
formula, short=sell and cover=buy.
Here is my list of trades.
Trade list
| Ticker |
Trade |
Entry |
Exit |
% change |
Profit |
Shares |
Pos. value |
Cum. profit |
# bars |
Profit/bar |
MAE/MFE |
Scale In/Out |
| GC___CCB |
Short |
01/19/2006
604.4 |
03/15/2006
602.1 |
-0.38% |
230.00
230.00% |
1 |
100.00 |
230.00 |
39 |
5.90 |
-4.00%
3.44% |
0/0 |
| GC___CCB |
Long |
03/15/2006
602.1 |
04/17/2006
651.6 |
8.22% |
4950.00
4950.00% |
1 |
100.00 |
5180.00 |
23 |
215.22 |
-1.31%
8.22% |
0/0 |
| GC___CCB |
Short |
04/17/2006
651.6 |
06/21/2006
615.7 |
-5.51% |
3590.00
3590.00% |
1 |
100.00 |
8770.00 |
47 |
76.38 |
-18.49%
8.04% |
0/0 |
| GC___CCB |
Long |
06/21/2006
615.7 |
07/19/2006
664.7 |
7.96% |
4900.00
4900.00% |
1 |
100.00 |
13670.00 |
19 |
257.89 |
-0.73%
14.78% |
0/0 |
| GC___CCB |
Short |
07/19/2006
664.7 |
09/01/2006
657.5 |
-1.08% |
720.00
720.00% |
1 |
100.00 |
14390.00 |
33 |
21.82 |
-4.29%
3.69% |
0/0 |
| GC___CCB |
Long |
09/01/2006
657.5 |
11/09/2006
648.3 |
-1.40% |
-920.00
-920.00% |
1 |
100.00 |
13470.00 |
49 |
-18.78 |
-10.49%
2.43% |
0/0 |
| GC___CCB |
Short |
11/09/2006
648.3 |
12/27/2006
648.3 |
0.00% |
0.00
0.00% |
1 |
100.00 |
13470.00 |
32 |
0.00 |
-3.98%
2.25% |
0/0 |
| GC___CCB |
Long |
12/27/2006
648.3 |
01/04/2007
648.2 |
-0.02% |
-10.00
-10.00% |
1 |
100.00 |
13460.00 |
5 |
-2.00 |
-0.37%
2.70% |
0/0 |
| GC___CCB |
Short |
01/04/2007
648.2 |
01/16/2007
644.1 |
-0.63% |
410.00
410.00% |
1 |
100.00 |
13870.00 |
8 |
51.25 |
-0.34%
4.10% |
0/0 |
| GC___CCB |
Long |
01/16/2007
644.1 |
02/05/2007
666.1 |
3.42% |
2200.00
2200.00% |
1 |
100.00 |
16070.00 |
15 |
146.67 |
-0.73%
5.46% |
0/0 |
| GC___CCB |
Short |
02/05/2007
666.1 |
03/19/2007
667.8 |
0.26% |
-170.00
-170.00% |
1 |
100.00 |
15900.00 |
30 |
-5.67 |
-5.81%
2.79% |
0/0 |
| GC___CCB |
Long |
03/19/2007
667.8 |
04/20/2007
702.6 |
5.21% |
3480.00
3480.00% |
1 |
100.00 |
19380.00 |
24 |
145.00 |
-0.40%
5.21% |
0/0 |
| GC___CCB |
Short |
04/20/2007
702.6 |
06/01/2007
669 |
-4.78% |
3360.00
3360.00% |
1 |
100.00 |
22740.00 |
30 |
112.00 |
-0.21%
6.40% |
0/0 |
| GC___CCB |
Open Long |
06/01/2007
669 |
07/19/2007
678.1 |
1.36% |
910.00
910.00% |
1 |
100.00 |
23650.00 |
35 |
26.00 |
-3.92%
1.57% |
0/0 |
As you can see, I trade futures at
EOD.
Thanks,
Tom
Sent: Friday, July 20, 2007 7:41
AM
Subject: Re: [amibroker] Re: Drawdown
on Backtest
That's correct. The EXIT date counts because only at EXIT you
know
whenever trade is losing or gaining. So 3 consecutive trades
by exit
date.
Best regards,
Tomasz Janeczko
amibroker.com
-----
Original Message -----
From: "Ron Rowland" <rowland@xxxxxcom>
To: <amibroker@xxxxxxxxxps.com>
Sent:
Friday, July 20, 2007 4:34 PM
Subject: [amibroker] Re: Drawdown on
Backtest
>I believe (but am not 100% sure) that "consecutive
trades" are
> determined by the trade exit date, not the entry
date. Are you sure
> that your 3 losing trades were not
consecutive? It appears from the
> report that the losing short
trade and the two losing long trades
> were consecutive. How many
positions did you have open at one time?
>
> Since your
system had a 96% drawdown, I would not be surprised that
> your 3
losing trades were not consecutive. Due to the compounding
> nature
of your system, it might be better to look at percentage
> losses
instead of dollar or point losses. Your average loss was 275%
> and
one trade lost 465%. The fact that you achieved this with only
>
0.2% exposure on the long side suggests that you are using leverage
> that is beyond my comprehension.
>
> --- In amibroker@xxxxxxxxxps.com,
"professor77747" <professor@x..>
>
wrote:
>>
>> I have backtested my formula for 18 months.
It is all the data that
> I
>> have. The results show a
Max. trade drawdown of -11400 and a Max.
>> system drawdown of
-10830. However, the largest loss was 920 with
> the
>>
most consecutive losses of 3.
>>
>> When I look at the
list of trades, I never had 3 consecutive
> losses.
>> I
only had 3 total losses. The total loss on these 3 losing trades
>> was 1100.
>>
>> I must not understand
exactly what is the definition of these
> terms.
>> Can
someone explain them to me.
>>
>> Here are the
statistics of my backtest.
>>
>> Statistics | Charts |
Trades | Formula | Settings | Symbols
>>
>> Statistics
>> All trades Long trades Short trades
>> Initial
capital 5000.00 5000.00 5000.00
>> Ending capital 28210.00
20070.00 13140.00
>> Net Profit 23210.00 15070.00 8140.00
>> Net Profit % 464.20 % 301.40 % 162.80 %
>> Exposure
% 38.40 % 0.21 % 38.20 %
>> Net Risk Adjusted Return % 1208.74 %
146527.80 % 426.20 %
>> Annual Return % 204.00 % 144.27 % 86.06
%
>> Risk Adjusted Return % 531.20 % 70135.74 % 225.30 %
>>
>>
----------------------------------------------------------
>
--
>> ----------
>>
>> All trades 14 7 (50.00
%) 7 (50.00 %)
>> Avg. Profit/Loss 1657.86 2152.86 1162.86
>> Avg. Profit/Loss % 1657.86 % 2152.86 % 1162.86 %
>>
Avg. Bars Held 27.71 24.14 31.29
>>
>>
----------------------------------------------------------
>
--
>> ----------
>>
>> Winners 10 (71.43 %) 5
(35.71 %) 5 (35.71 %)
>> Total Profit 24310.00 16000.00 8310.00
>> Avg. Profit 2431.00 3200.00 1662.00
>> Avg. Profit
% 2431.00 % 3200.00 % 1662.00 %
>> Avg. Bars Held 27.20 23.00
31.40
>> Max. Consecutive 5 3 3
>> Largest win 4950.00
4950.00 3590.00
>> # bars in largest win 23 23 47
>>
>>
----------------------------------------------------------
>
--
>> ----------
>>
>> Losers 4 (28.57 %) 2
(14.29 %) 2 (14.29 %)
>> Total Loss -1100.00 -930.00 -170.00
>> Avg. Loss -275.00 -465.00 -85.00
>> Avg. Loss %
-275.00 % -465.00 % -85.00 %
>> Avg. Bars Held 29.00 27.00 31.00
>> Max. Consecutive 3 2 1
>> Largest loss -920.00
-920.00 -170.00
>> # bars in largest loss 49 49 30
>>
>>
----------------------------------------------------------
>
--
>> ----------
>>
>> Max. trade drawdown
-11400.00 -8020.00 -11400.00
>> Max. trade % drawdown -92.19 %
-90.32 % -92.19 %
>> Max. system drawdown -10830.00 -10680.00
-12570.00
>> Max. system % drawdown -96.25 % -56.36 % -91.72 %
>> Recovery Factor 2.14 1.41 0.65
>> CAR/MaxDD 2.12
2.56 0.94
>> RAR/MaxDD 5.52 1244.45 2.46
>> Profit
Factor 22.10 17.20 48.88
>> Payoff Ratio 8.84 6.88 19.55
>> Standard Error 2983.36 1902.76 2317.60
>>
Risk-Reward Ratio 5.33 4.98 2.77
>> Ulcer Index 23.58 18.82
36.34
>> Ulcer Performance Index 8.42 7.38 2.22
>>
Sharpe Ratio of trades 2.59 3.15 2.22
>> K-Ratio 0.1213 0.1135
0.0630
>>
>> Thanks,
>>
Tom
>>
>
>
>
>
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