In AB, click on HELP -> SEARCH type in "BackTester Report" in the search window Under the "Select Topic" that comes back, click on "System Test Report Window" and you will see a definition of each term. Many of these are industry standard metrics of performance.
You can go to www.investopedia.com and type in for example "risk adjusted return" and get a more detailed explaination of most of the report items. Reef --- In [email protected], Ted Byers <r.ted.by...@...> wrote: > > 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 >
