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 ?
> >
> > > > >
> > > > > > >
>
> > > > > >
> > > > > >
>
> > > >
> > > > >
> > >
>
> > >
> > *
> > * *
> > *
*
> > **
> > *
*
>