Re: [amibroker] Re: Help with backtest statistics., AmiBroker Email List Archive

Hi Prof,

You need to know what each of those measures means - don't expect
somebody to give you a "magic" number which validates your
strategy for you!

If you know what each metric means, then you can determine how
well that system suits your trading style, your risk preferences, how
comfortable that system is for you.

For instance, I immediately reject any metric which involves Draw Down
(usually depicted as DD in metric abbreviations ).

Most of these system metrics are documented somewhere on the net along
with the logic and reasoning for their existence.

It is fair enough that you ask the forum these sorts of questions, but if
you want to be a successful trader, you will need a fair amount of
independence, hard work and willingness to do your own research.

Hope this helps!

Z

From: professor77747 <professor@xxxxxxxxxxxxxx>
To: amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, 24 June, 2009 8:21:20 AM
Subject: [amibroker] Re: Help with backtest statistics.

Thank you for your replies. However, I have the way they are calculated, but I don't know what they mean. For instance, CAR/MaxDD is good if bigger than 2. My formula is over 12. Is that good?

However, the K-Ratio should be over 1.0. My forumula is .06. So that must be bad.

I don't know how to judge my formula because I really don't understand how to interpret the figures.

What should the Ulcer Index be. Is higher better or worse.

I have just compared my formulas using Profit and Downdraw. I take the highest profit as long as the downdraw is close.

Tom

--- In amibroker@xxxxxxxxx ps.com, "Mike" <sfclimbers@ ...> wrote:
>
> http://www.amibroke r.com/guide/ h_report. html
> http://www.investop edia.com/ categories/ formulas. asp
>
> Mike
>
> --- In amibroker@xxxxxxxxx ps.com, "professor77747" <professor@> wrote:
> >
> >
> > I have a very profitable formual that I have been autotrading for over a
> > year. However, it is also risky. I have another formula that is not as
> > profitable, but is also not as risky. My formula trade almost exactly as
> > a backtest except for the price which varies by so little that it is not
> > a factor.
> >
> > I don't understand any of the risk % factors in the top section and the
> > factors below the drawdown figures in the bottom section.
> >
> > Here is a link to the statistics for last year which are very similar to
> > this year except that there is more data. Statistics
> > <http://success101. biz/Backtest% 20Report. htm>
> >
> > Please help me understand these statistics. Thanks
> >
> > Tom
> >
>