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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
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