If I understand your question correctly, then I believe
that it is the first bar of account equity (as found in the
backtester object) to last bar of account equity, as shown
in my earlier example.
Mike
--- In
amibroker@xxxxxxxxx ps.com,
Keith McCombs <kmccombs@xx .> wrote:
>
>
Mike and Steve --
> The limiting of range to that of
the data available, rather than to
> settings in AA,
is less than obvious from reading the User's Guide.
>
> When doing portfolio testing, is the range on
equity by equity basis, or
> from the first bar of
any equity to the last bar of any equity? (I
> can't
even imagine how one would either calculate or interpret the
> results doing it equity by equity).
>
> BTW, I believe your answers highlight my request
for "AFL formulas to
> produce results equivalent
to
> those shown in AB back tester analysis"
>
> I am familiar with Fred's IO portfolio.afl, and
will indeed examine it
> more closely. Good
suggestion.
>
> Thank you.
> --
Keith
>
> Mike wrote:
> >
>
> Pretty much amounts to the same thing since there are
generally 252
> > bars per 365 days. But, the
earlier sample could easily be modified to
> >
instead use:
> >
> > | first =
LastValue(ValueWhen (Status(" firstb arinrange"),
>
> DaysSince1900( )));
> > last =
LastValue(ValueWhen (Status(" lastbarinrange" ),
>
> DaysSince1900( )));
> > ...
> > CAR =
100 * ((bo.Equity/ bo.InitialEquity ) ^ (365/(last - first +
> > 1)) - 1);
> > <
/font>|
> >
> > Mike
>
>
> > --- In
amibroker@xxxxxxxxx ps.com,
"Steve Dugas" <sjdugas@> wrote:
> >
>
> > > Hi - For CAR, the user guide gives
the formula used by AB...
> > >
> >
> AmiBroker is one of the few programs that calculates
annual returns
> > correctly and will give you
correct value of 20% as shown in the
> > example
above. The formula that AmiBroker uses for annual return
> > calculation is as follows:
> >
>
> > > correctly_annualize d_perc_return =
100% * (
> > (final_value/ initial_value) ^ ( 365
/ days_in_test ) - 1 )
> > >
> > >
----- Original Message -----
> > >
> >
> From: Mike
> > > To:
amibroker@xxxxxxxxx
ps.com> > > Sent: Tuesday, December 01,
2009 5:01 PM
> > > Subject: [amibroker] Re:
What's a good k ratio,and thoughts on when
> > k
ratio clashes with MDD and Shar
> > >
>
> >
> > >
> > >
> >
> Keith,
> > >
> > >
> >
> Change the granularity of your formula to be on a bar
basis, as
> > opposed to an annual basis, and you
should come out with a value very
> > close to
what AB produces.
> > >
> >
>
> > > e.g.
> > >
> >
>
> > > SetCustomBacktestPr oc("");
>
> >
> > > if (Status("action" ) ==
actionPortfolio) {
> > > first =
LastValue(ValueWhen (Status(" firstbarinrange" ),
BarIndex())) ;
> > > last = LastValue(ValueWhen
(Status(" lastbarinrange" ), BarIndex())) ;
> >
> bo = GetBacktesterObject ();
> > >
>
> > bo.Backtest( );
> > >
> >
> CAR = 100 * ((bo.Equity/ bo.InitialEquity ) ^ (252 /
(last - first +
> > 1)) - 1);
> >
>
> > > bo.AddCustomMetric( "MyCAR",
CAR);
> > > }
> > >
> >
>
> > > I believe that the information for
K-Ratio is out of date. The
> > formula has been
revised. I seem to recall the author suggesting that
> > a value of 0.5 was good. Howard has suggested
that 0.15 was good.
> > >
> >
>
> > > Note that the metrics you were
comparing dealt with return without
> > regard for
how that return was achieved. K-Ratio measures the
>
> consistency of the return. So, it is not unusual to
have strong
> > CAR/MDD with poor K-Ratio. A
couple of big gains would improve the
> > former
while hurting the latter.
> > >
> >
>
> > > I seem to recall a posting in this
forum offering many of the
> > calculations that
you're asking for. Otherwise, you can try looking at
> > the Portfolio.afl of IO since it displays many
of the same values.
> > >
> >
>
> > > Mike
> > >
> >
> --- In
amibroker@xxxxxxxxx ps.com,
Keith McCombs kmccombs@ wrote:
> > >
>
> > > > Mike --
> > > >
The tooltip (which I must admit I was unaware of),
unfortunately,
> > > > provides no more
information than the "AmiBroker User's Gu ide"
> >
(which I
> > > > referred to in my previous
posting).
> > > >
> > > >
Using your suggestion of Googling the metrics, I Googled
CAR, and
> > came
> > > > up with
the following link:
> > > >
> >
http://www.investor glossary.
com/compound- annual-return. htm#rate_
definition> > > > resulting in the
definition, "The formula for the compound annual
>
> return
> > > > is ((Ending Value)
/(Beginning Value))^(1/Number of years)-1."
> >
> >
> > > > I just ran a portfolio
backtest for a strategy from 10/26/07 to
> > >
> 10/25/09, a period of 2years. The results were:
>
> > > Initial capital 100000.00 100000.00
100000.00
> > > > Ending capital 134224.01
134224.01 100000.00
> > > > Net Profit
34224.01 34224.01 0.00
> > > > Net Profit %
34.22 % 34.22 % 0.00 %
> > > > Exposure %
2.70 % 2.70 % 0.00 %
> > > > Net Risk
Adjusted Return % 1268.77 % 1268.77 % N/A*> > Annual
> > Return % 19.79 % 19.79 % 0.00 %
> >
> > Risk Adjusted Return % 733.63 % 733.63 %
N/A
> > > >
> > > >
>
> > > Note that the net profit over the two year
period is 34.22% and the
> > > > Annual
Return is shown as 19.79%. However if one calculates the
> > Annual
> > > > Return using net
profit and the formula above,
> > > >
1.3422401^.5 -1 = 15.855%.
> > > >
>
> > > The AB User's Guide suggests that a good
system might have the
> > following
> >
> > characteristics:
> > > > "CAR/MaxDD
- Compound Annual % Return divided by Max. system %
>
> drawdown.
> > > > Good if bigger than
2".
> > > >
> > > > "Sharpe
Ratio of trades - Measure of risk adjusted return of
> > investment.
> > > > Above 1.0
is good, more than 2.0 is very good."
> > >
>
> > > > "K-Ratio - Detects inconsistency
in returns. Should be 1.0 or more."
> > >
>
> > > > The s trategy tested above
showed the following:
> > > > MDD =
-8.02%
> > > > CAR/MDD = 2.47
> >
> > RRR = 4.32
> > > > Sharpe =
5.27
> > > > K-Ratio =0.0051 (seems rather
inconsistent with others)
> > > >
>
> > > I have back tested many profitable, low risk
systems over the
> > years, and
> > >
> do not recall ever seeing a K-Ratio greater than
1.0.
> > > >
> > > > So, I'd
still like to have *AFL formulas to produce results
>
> equivalent to
> > > > those shown in AB
back tester analysis*.
> > > >
> >
> > And, BTW, does AB calculate MDD from High/Low bars
or from equity
> > curve
> > > >
based on closes. I suspect the latter, but don't really
know.
> > > >
> > > > Thank
you.
> > > > -- Keith
> > >
>
> > > >
> > > > Mike
wrote:
> > > > >
> > > >
>
> > > > > For a textual description,
generate a backtest report and the n
> >
hover
> > > > > your mouse over any metric
name. The tooltip will provide a
> > > > >
description of the metric. For most, a mathematical
explanation
> > can be
> > > > >
found via google.
> > > > >
> >
> > > Mike
> > > > >
> >
> > > --- In
amibroker@xxxxxxxxx ps.com
> > <mailto:amibroker% 40yahoogroups.
com>,
> > > > > "Potato Soup"
potatosoupz@ wrote:
> > > > > >
>
> > > > > Yes, I still don't have an
explanation for what car is. And
> > all
the
> > > > > others I listed.
>
> > > > >
> > > > > >
-----Original Message-----
> > > > > >
From: Keith McCombs kmccombs@
> > > > >
> Date: Mon, 30 Nov 2009 14:05:23
> > > >
> > To:
amibroker@xxxxxxxxx ps.com
> > <mailto:amibroker% 40yahoogroups.
com>>
> > > > > > Subject: Re:
[amibroker] What's a good k ratio,
> > > >
> > and thoughts on when k ratio clashes with MDD and
Sharpe?
> > > > > >
> > >
> > > One thing that I would find most helpful, as
far as
> > performance metrics
> > >
> > > are concerned, is a precise definition of
each metric in
> > "AmiBroker
> > >
> > > User's Guide" (page 156 for v5.20), including
AFL formulas to
> > produce
> > > >
> > results equivalent to those produced by AB back
tester analysis.
> > > > > >
>
> > > > > -- Keith
> > > >
> >
> > > > > > Howard B
wrote:
> > > > > > >
> >
> > > > >
> > > > > >
> Hi PS --
> > > > > > >
>
> > > > > > One way to get a feeling for
values for metrics and objective
> > > > >
> > functions is run an optimization, giving you a
range of
> > results. If
> > > >
> > > necessary, peek into the future so you are
certain to get
> > some really
> > >
> > > > good results.
> > > >
> > >
> > > > > > > Look
through the list of results, pick some individual
>
> results with a
> > > > > > >
variety of values for the metrics you want to learn
about.
> > > > > > >
> >
> > > > > Set the default value of the
optimized variables to the specific
> > > >
> > > values you chose.
> > > > >
> >
> > > > > > > Run a single
backtest. Plot the equity curve.
> > > > >
> >
> > > > > > > When you
have done a few of these and have a feeling for the
>
> > > > > > characteristics of the systems
you would like to trade,
> > print out the
>
> > > > > > plot of the equity curves and
write the values of the
> > metrics and
>
> > > > > > objective functions on the
printout.
> > > > > > &g t;
>
> > > > > > ------------ ---------
--
> > > > > > >
> > >
> > > > Your question about
interpretation.
> > > > > >
>
> > > > > > > My preference is
for objective functions that reward equity
> >
growth
> > > > > and
> > >
> > > > penalize drawdown. CAR/MDD, RAR/MDD,
RRR, Recovery Factor,
> > K-Ratio,
> >
> > > > > Ulcer Performance Index, and Sharpe
Ratio all do that. In all of
> > > > >
> > these cases, larger values are better.
>
> > > > > >
> > > > >
> > The important results are the out-of-sample
results. We are
> > looking
> > > >
> > > for logic and parameter values that not only
perform well
> > in-sample,
> > > >
> > > but that also perform well
out-of-sample.
> > > > > > >
>
> > > > > > When you run walk forward
tests, you will find that s ome
> >
objective
> > > > > > > functions
give high rank to alternatives that do tend to
> >
perform well
> > > > > > >
out-of-sample, while other objective functions select
> > alternatives
> > > > > >
> that often do not perform well out-of-sample. You will
need
> > to run
> > > > > >
> some of your own tests to get a feeling for how these
work
> > on your
> > > > > >
> trading systems.
> > > > > >
>
> > > > > > > My experience is
that using net profit is usually a poor
> >
objective
> > > > > > > function,
although it is the default (and often the only)
>
> selection
> > > > > > > for
some trading systems development platforms other than
> > AmiBroker.
> > > > > >
>
> > > > > > > Fund managers are
evaluated on the Sharpe Ratio of their
> >
performance.
> > > > > > > My
experience is that systems selected using Sharpe R atio
> > tend to
> > > > > > >
perform poorly out-of-sample.
> > > > >
> >
> > > > > > > Standard
Error is a measurement of the smoothness of the
>
> equity line
> > > > > > > --
smaller values are better. But optimizing to minimize
> > standard
> > > > > > >
error alone may give high ranks to systems that have
trading
> > > > > > >
characteristics that you do not want. For example, if you
> > have the
> > > > > > >
options set so that the equity earns interest when ever it
> > is not
> > > > > in
a
> > > > > > > position, then using
standard error will reward alternatives
> >
that
> > > > > stay
> > > >
> > > in cash and trade infrequently.
> >
> > > > >
> > > > > >
> ------------ --------- ---
> > > > >
> >
> > > > > > > One of the
very valuable features of AmiBr oker is the
> >
capability for
> > > > > > > the
system developer to create whatever objective function
> > he or she
> > > > > >
> wants to use. It does not have to be limited to those
that are
> > > > > > > distributed
with AmiBroker and appear in the list of
> >
metrics. You
> > > > > > > might
want to combine metrics -- for example to reward
>
> alternatives
> > > > > > >
whose trading frequency suits your preferences, while also
> > rewarding
> > > > > >
> equity growth and penalizing drawdown.
> >
> > > > >
> > > > > >
> Thanks,
> > > > > > >
Howard
> > > > > > >
> >
> > > > >
> > > > > >
>
> > > > > > >
> > >
> > > > On Sat, Nov 28, 2009 at 11:33 PM,
potatosoupz potatosoupz@
> > > > > >
> <mailto:potatosoupz @> wrote:
> > >
> > > >
> > > > > >
>
> > > > > > >
> > >
> > > > I don't see any good definitions for the
metrics below. I am
> > > > > > >
familiar of course with Sharpe, and Ulcer Index. I'm finding
> > it a
> > > > > > > bit
hard to reconcile the differences. How would you reconcile
a
> > > > > > > backtest that has a
max draw down % that is smaller than it's
> > >
> > > > profit %, a low ulcer index, a high
Sharpe, but a very low k
> > ratio
> >
> > > > > (< .05)?
> > > >
> > >
> > > > > > > Ulcer
Index in my mind is one of the best metrics outside of
a
> > > > > > > much deeper
quantitative treatment of things. Thoughts?
> >
> > > > >
> > > > > >
> CAR/MDD ?
> > > > > > > RAR/MDD
?
> > > > > > > Payoff Ratio
?
> > > > > > > Standard Error
?
> > & gt; > > > > RRR ?
>
> > > > > > Recovery Factor ?
> >
> > > > >
> > > > > >
>
> > > > > > >
> > >
> > >
> > > > >
> > >
> >
> > > >
> > >
>
> *
> > * *
> > * *
> >
**
> > *
*
>