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Hello,
This was the reason why I did not include it when I wrote
portfolio backtester, but since then
I was considering adding this option for comparison
purposes.
One idea (as suggested by Allan) is to use benchmark such as
SP500, but it won't be very useful
when testing some small watch lists of stocks that are little
correlated with large caps.
Also for some
instruments there is no benchmark (see forex for example),
that's why I am thinking about another solution:
creating own "benchmark" by using all symbols under test to
create equal weighted composite
and test buy and hold strategy on such artificial composite.
This would give you some idea how
well given strategy performs compared to passive
investment.
Any comments?
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
Sent: Tuesday, July 11, 2006 4:21
PM
Subject: RE: [amibroker] Comparitive Buy
and Hold returns
How would you go about calc'ng B&H on an entire
portfolio where you used scoring, etc?
d
with that said,I can not find buy and hold returns on the new
report....
----- Original Message -----
From: Tomasz Janeczko <[EMAIL PROTECTED]>
Date: Monday, July 10, 2006 5:08 pm
Subject: Re: [amibroker] Comparitive Buy and Hold returns
> Hello,
>
> 1. Yes
> 2. Yes from
mathematical standpoint however you would NOT be able
> to enter that
many positions with limited capital
> so these results are
theoretical only.
>
> 3. OLD backtester is phased out. It is
there only for people who
> had some resutls from versions 4.40 or
earlier stored somewhere and
> want to reproduce old backtests for
some reason.
>
> All new code should use NEW portfolio-level
backtester only.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: [EMAIL PROTECTED]
> To:
[email protected]
> Sent: Monday, July 10, 2006 9:59 PM
> Subject: Re: [amibroker] Comparitive Buy and Hold returns
>
>
>
> So,if the system is a losing
system and has a an average loss as
> opposed to profit,will the
result be apx((approx (number of
> symbols) * avg. loss ) ??
>
> Are the buy and hold stats accurate?
>
> Where can i find the definitions for the old backtest??
>
>
>
>
>
>
> -----
Original Message -----
>
>
> From: Tomasz
Janeczko <[EMAIL PROTECTED]>
>
> Date: Monday,
July 10, 2006 2:59 pm
>
> Subject: Re: [amibroker]
Comparitive Buy and Hold returns
>
>
> >
Hello,
> >
> > Please note that OLD
backtester is not portfolio backtester.
> > It backtests
each security *separately* and sums up the
> results
>
> so your profits will be much higher (approx (number of
>
symbols) *
> > avg. profit )
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message
-----
> > From: "matrix10014" <[EMAIL PROTECTED]>
> > To: <[email protected]>
>
> Sent: Monday, July 10, 2006 6:35 PM
> > Subject:
[amibroker] Comparitive Buy and Hold returns
> >
> >
> > > Can someone please tell me
where in reports you can easily
> see
> > how
> > > your system did relative to a buy and hold
strategy??
> > >
> > > I did see some
Buy and Hold stats in the Old backtester,but
> some
>
> of
> > > the numbers were of by a factor of 10-100..
> > >
> > >
> > >
Total net profit: 532108.89 Total commissions paid: 0.00
> > > Return on account: 6.82 % Open
position gain/loss
> 11931.24
> > > Buy&Hold
profit: 3657774.41 Bars (avg. days) in test:
> 13351
> > (250)
> > > Buy&Hold % return:
46.89% System to Buy&Hold index: -
> 85.45%
> > >
> > > Annual system %
return: 10.11% Annual B&H % return: 75.32%
>
> >
> > >
> > > those
numbers posted were on a $100,000 account!!I have no
> idea
> > where
> > > the total net profit
number of 532,108.89 came from..And I
> > really dont
> > > know how a 532,108 profit only generates a 6.82%
return on a
> > $100000
> > > account
> > >
> > > Thanks
> >
>
> > > Allan
> > >
>
> >
> > >
> > >
>
> >
> > >
> > >
>
> >
> > >
> > >
>
> > Please note that this group is for discussion between users
> only.
> > >
> > > To get
support from AmiBroker please send an e-mail directly
> to
> > > SUPPORT {at} amibroker.com
> > >
> > > For other support material please check also:
> > > http://www.amibroker.com/support.html
> > >
> > >
> > >
Yahoo! Groups Links
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> >
>
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