ya frnd ......but u knw still not showing .....i have tried to upload more then 4 data file again but no showing ...wat do do frnd
Dharmendra Kalal --- On Thu, 3/12/09, Joe Landry <[email protected]> wrote: From: Joe Landry <[email protected]> Subject: Re: [amibroker] Re: What's a good k ratio,and thoughts on when k ratio clashes with MDD and Shar To: [email protected] Date: Thursday, 3 December, 2009, 4:59 PM Did you try - File --> New --> Default Chart ?? joe ----- Original Message ----- From: dharmendra kalal To: amibro...@yahoogrou ps.com Sent: Thursday, December 03, 2009 2:09 AM Subject: Re: [amibroker] Re: What's a good k ratio,and thoughts on when k ratio clashes with MDD and Shar HI , PLS SOLVE MY PROBLEM MY AB AHS BEEN CRASHED 5.21 RC ... ITS NOT SHOWING ANY CHART..I HAVE CLOSED IT IN RIGHT WAY ...WHAT IS SOLLUTION Dharmendra Kalal --- On Thu, 3/12/09, Mike <sfclimb...@yahoo. com> wrote: From: Mike <sfclimb...@yahoo. com> Subject: [amibroker] Re: What's a good k ratio,and thoughts on when k ratio clashes with MDD and Shar To: amibro...@yahoogrou ps.com Date: Thursday, 3 December, 2009, 11:37 AM 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 amibro...@yahoogrou ps.com, Keith McCombs <kmcco...@.. .> 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 amibro...@yahoogrou 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: amibro...@yahoogrou 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 amibro...@yahoogrou 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 amibro...@yahoogrou 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: amibro...@yahoogrou 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 ? > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > * > > * * > > * * > > ** > > * * > The INTERNET now has a personality. YOURS! See your Yahoo! Homepage. The INTERNET now has a personality. YOURS! See your Yahoo! Homepage. http://in.yahoo.com/
