Brian, I want to add a custom metric to compare my total portfolio versus a selected index. My guess was that I would write the first and last entry date of my portfolio back test as a (static?)variable and then take the ROC to compare with the portfolio's return. From there I could expand to compare drawdown etc. However, I am no sure if that is the best or most efficient way to compare.
Dingo mentioned a security by security comparison but I want to use the total portfolio relative to a buy and hold as that is more appropriate for what I want to measure. I am open to ideas. Thanks DM --- In [email protected], "brian.z123" <[EMAIL PROTECTED]> wrote: > > > Hello DM, > > I haven't tried it but I have theoretically considered the *problem* > in the past and I came to the conclusion if your buy = = the close on > the start date of your test period and your sell = = the close on the > last day of your test period you would have it (MM set to buy 100% of > equity). > > If you just want it as a reference or cross comparison to your system > backtest results then add code to an Exploration to perform the above > task for all symbols for the test period and print the output list. > > I do have *indicators* that I use to visually compare the evaluation > metrics for the full test period (I view them in charts and/or add > them to Explorations) e.g. Win/Loss ratio, Profit Factor (gross > profit/loss method or Win/Loss ratio method). > What they tell me is what the PF would have been if I had bought and > held compared to trading my system. > > I assume any of the back-test metrics can be converted to the > equivalent buy/hold return for comparison with your system metrics. > > Let me know if you are interested in that approach and I will post > something. > > I have only done the above two at this stage but the easier metrics > in the backtest report shouldn't be hard to achieve. > > Regards, > > BrianB2. > > > > > > --- In [email protected], "dmcleod1981" <dmcleod1981@> > wrote: > > > > I may be using the wrong key words when I am searching but I can't > find > > any previous samples that show how to add the buy and hold return > > during the back test period. If someone has any snippets or can > > reference a post number I would be greatful. > > > > Thanks > > DM > > >
