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I asked this question while back but am still suffering from the same
problem.
Exclude = LastValue( Cum( Buy + Sell ) ) == 0;
Exclude = NOT ( Buy OR Sell );
Neither of the above does not seems to exclude statistics for the stock
with no trade. I'm using Version 3.80.2.
I backtested a portfolio comprised of two stocks, Stock1 and Stock2.
If there was no trade for STOCK2, I'd expect "Overall performance summary"
and "Performance for Stock1 " were the same but they are NOT.
Is anyone kind enough to take a look at the attachment and tell me what I'm doing wrong?
sincerely,
--- In amibroker@xxxx, "Tomasz Janeczko" <amibroker@xxxx> wrote:
> Hello,
>
> One more information, this line was a little bit tricky because of
a bug
> in 3.7x. With version 3.80 (official) you can use simpler:
>
> Exclude = NOT ( Buy OR Sell );
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
Title: AmiBroker System Test Report
Settings
Initial Equity:
10000000
Periodicity/Positions:
Daily/Long
Commissions:
0.00 %
Annual interest rate:
0.00%
Long trades
Buy price:
Open
Sell price:
Open
Buy delay:
1
Sell delay:
1
Short trades
Short price:
Open
Cover price:
Open
Short delay:
1
Cover delay:
1
Stops
Maximum loss:
disabled
Profit target:
disabled
Value:
0.00
Value:
0.00
Exit at stop?
no
Exit at stop?
no
Formula
Buy = Cross(Close, MA(Close, 50)) AND Volume > 1000000;
Sell = Cross(MA(Close, 50), Close);
Buy = ExRem (Buy, Sell);
Sell = ExRem (Sell, Buy);
Exclude = NOT ( Buy OR Sell );
Overall performance summary
Total net profit:
-4338674.75
Total commissions paid:
0.00
Return on account:
-21.69 %
Open position gain/loss
0.00
Buy&Hold profit:
67319029.38
Bars (avg. days) in test:
5684 (4069)
Buy&Hold % return:
336.60%
System to Buy&Hold index:
-106.44%
Annual system % return:
-2.17%
Annual B&H % return:
14.13%
System drawdown:
-4990338.09
B&H drawdown:
-1458333.33
Max. system drawdown:
-6185990.26
B&H max. drawdown:
-134513888.89
Max. system % drawdown:
-55.25%
B&H max. % drawdown:
-94.03%
Max. trade drawdown:
-2105978.26
Max. trade % drawdown:
-20.13%
Trade drawdown:
-1154891.30
Total number of trades:
7
Percent profitable:
0.0%
Number winning trades:
0
Number losing trades:
7
Profit of winners:
0.00
Loss of losers:
-4338674.75
Total # of bars in winners:
0
Total # of bars in losers:
77
Commissions paid in winners:
0.00
Commissions paid in losers:
0.00
Largest winning trade:
0.00
Largest losing trade:
-1290760.87
# of bars in largest winner:
0
# bars in largest loser:
30
Commission paid in largest winner:
0.00
Commission paid in largest loser:
0.00
Average winning trade:
N/A
Average losing trade:
-619810.68
Avg. # of bars in winners:
N/A
Avg. # bars in losers:
11.0
Avg. commission paid in winner:
N/A
Avg. commission paid in loser:
0.00
Max consec. winners:
0
Max consec. losers:
7
Bars out of the market:
5606
Interest earned:
0.00
Exposure:
1.4%
Risk adjusted ann. return:
-158.11%
Ratio avg win/avg loss:
1.#R
Avg. trade (win & loss):
-619810.68
Profit factor:
0.00
Performance for Stock1
Total net profit:
-4338674.75
Total commissions paid:
0.00
Return on account:
-43.39 %
Open position gain/loss
0.00
Buy&Hold profit:
-208333.33
Bars (days) in test:
4808 (6815)
Buy&Hold % return:
-2.08%
System to Buy&Hold index:
-1982.56%
Annual system % return:
-3.00%
Annual B&H % return:
-0.11%
System drawdown:
-4990338.09
B&H drawdown:
-1458333.33
Max. system drawdown:
-6185990.26
B&H max. drawdown:
-134513888.89
Max. system % drawdown:
-55.25%
B&H max. % drawdown:
-94.03%
Max. trade drawdown:
-2105978.26
Max. trade % drawdown:
-20.13%
Trade drawdown:
-1154891.30
Total number of trades:
7
Percent profitable:
0.0%
Number winning trades:
0
Number losing trades:
7
Profit of winners:
0.00
Loss of losers:
-4338674.75
Total # of bars in winners:
0
Total # of bars in losers:
77
Commissions paid in winners:
0.00
Commissions paid in losers:
0.00
Largest winning trade:
0.00
Largest losing trade:
-1290760.87
# of bars in largest winner:
0
# bars in largest loser:
30
Commission paid in largest winner:
0.00
Commission paid in largest loser:
0.00
Average winning trade:
N/A
Average losing trade:
-619810.68
Avg. # of bars in winners:
N/A
Avg. # bars in losers:
11.0
Avg. commission paid in winner:
N/A
Avg. commission paid in loser:
0.00
Max consec. winners:
0
Max consec. losers:
7
Bars out of the market:
4731
Interest earned:
0.00
Exposure:
1.6%
Risk adjusted ann. return:
-187.39%
Ratio avg win/avg loss:
1.#R
Avg. trade (win & loss):
-619810.68
Profit factor:
0.00
Trade list for Stock1
Trade
Entry date
Exit date
Net Profit
Equity value
Long
1990/02/14
1990/03/20
-489130.43
9510869.57
Long
1990/05/16
1990/06/26
-1290760.87
8220108.70
Long
1990/09/17
1990/09/18
-603310.73
7616797.97
Long
1992/07/03
1992/07/20
-911870.18
6704927.79
Long
1995/11/07
1995/11/09
-358985.77
6345942.02
Long
1995/11/13
1995/11/15
-440243.02
5905699.00
Long
2000/04/20
2000/04/21
-244373.75
5661325.25
Performance for Stock2
Total net profit:
0.00
Total commissions paid:
0.00
Return on account:
0.00 %
Open position gain/loss
0.00
Buy&Hold profit:
67527362.71
Bars (days) in test:
876 (1324)
Buy&Hold % return:
675.27%
System to Buy&Hold index:
-100.00%
Annual system % return:
0.00%
Annual B&H % return:
75.88%
System drawdown:
0.00
B&H drawdown:
-273469.98
Max. system drawdown:
0.00
B&H max. drawdown:
-51338985.86
Max. system % drawdown:
0.00%
B&H max. % drawdown:
-55.84%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
0.00
Total number of trades:
0
Percent profitable:
N/A%
Number winning trades:
0
Number losing trades:
0
Profit of winners:
0.00
Loss of losers:
0.00
Total # of bars in winners:
0
Total # of bars in losers:
0
Commissions paid in winners:
0.00
Commissions paid in losers:
0.00
Largest winning trade:
0.00
Largest losing trade:
0.00
# of bars in largest winner:
0
# bars in largest loser:
0
Commission paid in largest winner:
0.00
Commission paid in largest loser:
0.00
Average winning trade:
N/A
Average losing trade:
N/A
Avg. # of bars in winners:
N/A
Avg. # bars in losers:
N/A
Avg. commission paid in winner:
N/A
Avg. commission paid in loser:
N/A
Max consec. winners:
0
Max consec. losers:
0
Bars out of the market:
875
Interest earned:
0.00
Exposure:
0.1%
Risk adjusted ann. return:
0.00%
Ratio avg win/avg loss:
1.#R
Avg. trade (win & loss):
N/A
Profit factor:
1.#R
Trade list for Stock2
Trade
Entry date
Exit date
Net Profit
Equity value
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