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I wouldn't presume what was meant by industrial strength, but I have to
say that the DVD was fantastic.
I'm currently doing an MsSci in Simulation, and some subjects towards a
Ms in Systems Engineering, and I think your video contained more value
and insight than half the compulsory text books I have to
purchase...and for less than the price of a cup of coffee!
Craig.
On 13/02/2010 9:24 AM, Howard B wrote:
>
>
> "Industrial Strength"
>
> Is that a good thing or a bad thing?
>
> Thanks,
> Howard
>
>
> On Tue, Feb 9, 2010 at 9:00 PM, reefbreak_sd <reefbreak_sd@xxxxxxxxx
> <mailto:reefbreak_sd@xxxxxxxxx>> wrote:
>
> I am no expert in backtesting, you need to address those questions
> to Howard Bandy on this forum or buy his EXCELLENT book
> "Quantitative Trading Systems" where he creates and backtests a
> variety of trading sysstems along with commentary. I understand
> Howard is coming out with an advanced version very soon. Also he has
> available a recording of a lecture he gave in Australia detailing
> the development and backtesting of a trading system. The cost is a
> trivial $1.95, but beware the lecture is "industrial strength".
>
> You can limit the dollar size of each position and limit the number
> of positions you can hold, thereby removing the total dollars in the
> account as a determinant of profit.
>
> Also note that there is several different levels of running the
> backtester. Allowing a very high level of control over what it does
> - This comes at a cost of complexity of programming.
>
> You can add custom written calculations to the backtest report.
>
> Reef
>
> PS
> I personally feel that backtesting is a "hall of mirrors" where you
> can easily fool yourself into thinking that you have a profitable
> system when you don't. Or conversely - needlessly discard a workable
> system because of poor backtest results. Be VERY skeptical of any
> results either good or bad.
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx
> <mailto:amibroker%40yahoogroups.com>, Ted Byers <r.ted.byers@xxx> wrote:
> >
> > Thanks. That helped a lot.
> >
> > However, I am not especially happy with the following:
> >
> > System test report window
>
> >
> > correctly_annualized_perc_return = 100% * (
> (final_value/initial_value) ^ (
> > 365 / days_in_test ) - 1 )
> >
> > where x^y means rising x to the power of y
> >
> >
> > The problem I find lays in knowing precisely what initial_value
> is supposed
> > to be. Yes, the formula is correct, and makes sense, if the
> initial value
> > is fully utilized in the investment (such as the initial and
> final value of
> > a house one has purchased). However, in the system I am working
> on, at no
> > point does the total value of all open positions exceed $100,000,
> and yet I
> > have been instructed to set, as a default for backtesting
> purposes, initial
> > cash at 1,000,000 (the trader we're working with doesn't want to
> deal with
> > any limits posed by the available cash). But that means I can
> arbitrarily
> > improve the rate of return by a factor of ten if I use an initial
> value of
> > 100,000 or arbitrarily make it worse by using an initial value of
> > 2,000,000. Obviously, I can't use an initial value less than
> 100,000 or the
> > trades the system recommends would not be possible, but apart
> from that
> > constraint, that I can arbitrarily alter initial value without
> affecting
> > total return seems to make this figure just so much meaningless
> BS. At no
> > time, when using this code, is position size computed from the
> available
> > cash.
> >
> > How, then, can I define things in such a way that ensures that
> the rate of
> > return actually has a meaningful value? So far, it seems I can
> only compute
> > a meaningful value for the rate of return for a specific trade
> (where the
> > initial value is obviously the cost of buying the shares, for a long
> > position, or the value received from the sale of shares, for a short
> > position), but not for a collection of trades distributed over a
> period of
> > several years. Is there a standard way for handling this? One that is
> > demonstrably valid?
> >
> >
> > Thanks
> >
> >
> > Ted
> >
> >
> > On Mon, Feb 8, 2010 at 4:11 PM, reefbreak_sd <reefbreak_sd@xxx>
> wrote:
> >
> > >
> > >
> > > 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
> <http://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
> <mailto:amibroker%40yahoogroups.com> <amibroker%40yahoogroups.com
> <http://40yahoogroups.com>>, Ted Byers
>
> > > <r.ted.byers@> 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
> > > >
> > >
> > >
> > >
> >
> >
> >
> > --
> > R.E.(Ted) Byers, Ph.D.,Ed.D.
> > TED@xxx
>
> > CTO
> > Merchant Services Corp.
> > 350 Harry Walker Parkway North, Suite 8
> > Newmarket, Ontario
> > L3Y 8L3
> >
>
>
>
>
>
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