|
PureBytes Links
Trading Reference Links
|
In AB, click on HELP -> SEARCH
type in "BackTester Report" in the search window
Under the "Select Topic" that comes back, click on "System Test Report Window" and you will see a definition of each term. Many of these are industry standard metrics of performance.
You can go to www.investopedia.com and type in for example "risk adjusted return" and get a more detailed explaination of most of the report items.
Reef
--- In amibroker@xxxxxxxxxxxxxxx, Ted Byers <r.ted.byers@xxx> wrote:
>
> Hi All,
>
>
> I am digging into how AmiBroker computes the various statistics it reports
> on a given back test.
>
> For example, I see the following reported:
>
> Exposure %
> Net Risk Adjusted Return %
> Annual Return %
> Risk Adjusted Return %
>
> Where will I find the details of exactly how AmiBroker computes these from a
> given suite of trades? Now, I know what a risk adjusted return is, but in
> my previous work, it is based on 100% of the cash being invested, and it
> carries a specific definition of "risk". In the system I am working with
> now, it is rare for 100% of the available cash to be invested, and a really
> really long lived trade lasts only a couple weeks (though 9 out of 10 trades
> were profitable in my last back test using my own C++ code - which in my
> view was quite bad - average position size of about 50,000 and total profit
> over 2 years being about 10,000). It seems rather meaningless to report an
> annual rate of return if one is in the market for less than a month.
>
> In this "system", the position size is not a function of the total amount of
> cash available; so if these rates are defined relative to the total amount
> of cash available, I can arbitrarily change these rates by increasing or
> decreasing the amount of cash available, within limits. I am afraid my
> understanding of these ideas is derived from the perspective of an investor
> (where one buys a stock, and looks at returns based on the combination of
> dividends and long term change in share value, adjusted for splits, &c.).
> If I can see how AmiBroker computes these stats for a given backtest, I hope
> to understand these from the perspective of a trader.
>
> So where will I find the documentation of how AmiBroker computes these back
> test statistics?
>
> Thanks
>
> Ted
>
------------------------------------
**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
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:
amibroker-digest@xxxxxxxxxxxxxxx
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/
|