Let me attempt to be more clear,
When I run my system in long only I get the total and long columns on the
report for Net Profit of 458.76%,
Net Profit % 458.76 % 458.76 % 6.59 %
When I run it short I get the total and short columns on the report for Net
Profit of 75.98%,
Net Profit % 75.89 % 6.59 % 75.89 %
When I run it long and short I get Net Profit total of 821.76%, long of 612.44%
and short of 215.90%,
Net Profit % 821.76 % 612.44 % 215.90 %
Why is long column for Net Profit% not the same for the long only and long and
short run?
And same question for the short column on the short only and long and short run?
Ron
--- In [email protected], "Matthias K." <meridian...@...> wrote:
>
> Hi,
>
> It's very hard to understand the system's logic only by numbers. But as a
> matter of fact you identified the problem already: when you're testing long
> only, the shorts are skipped, thus it'll result in a very different equity
> curve as compared to the result when trading long and short together. So
> far, if everything went right, you just figured out the difference of
> trading a long-only system and a short-only system.
>
>
>
> If trading stocks, one might consider the long-side only because the indices
> and stocks sort of have a long-bias. In order to smoothen your equity curve,
> you might want to combine a short and a long system. The result is something
> like you're showing here. It'll pretty much enable you to make money in
> both bull and bear markets and ideally smoothens out the equity curve and
> reduces drawdowns and flat periods. Looks good to me if your coding has been
> right and doesn't look into the future.
>
>
>
> Always:
>
>
>
> CAR/MDD ratio: above 1,5 over 10 years time is outstanding, as it's a risk
> adjusted measure, it'll equal/weigh up profits versus losses|drawdown and
> will not consider "net profit only"
>
>
>
> To sum it up: the more trades you have, the longer your backtesting period
> is, the higher your CAR/MDD ratio: the better your system. Don't forget to
> include commissions/ spreads, anyhow. They might deteriorate your big
> picture. Especially with mid-caps.
>
>
>
> A good custom backtest metric might be a combination of number of trades and
> CAR/MDD, so to say, make 50 Trades per year and still give a CAR/MDD ratio
> above 1.
>
>
>
> Greetings
>
>
>
> M
>
>
>
> From: [email protected] [mailto:[email protected]] On Behalf
> Of Ron
> Sent: Donnerstag, 22. Juli 2010 06:31
> To: [email protected]
> Subject: [amibroker] Backtest Report Long/Short trades columns?
>
>
>
>
>
> I have a strategy that over time is either long or short but not both at the
> same time. I'm having difficulty understanding the Long and Short trades
> columns in the back test report when I run the back test in Long and Short
> mode.
>
> Long only backtest gives (Net Profit 458.76%)
>
> Initial capital 100000.00 100000.00 100000.00
> Ending capital 558757.12 558757.12 106586.98
> Net Profit 458757.12 458757.12 6586.98
> Net Profit % 458.76 % 458.76 % 6.59 %
> Exposure % 38.28 % 38.28 % 0.00 %
> Net Risk Adjusted Return % 1198.47 % 1198.47 % N/A
> Annual Return % 30.78 % 30.78 % 1.00 %
> Risk Adjusted Return % 80.42 % 80.42 % N/A
>
> Short only backtest gives (Net Profit 75.89%)
>
> Initial capital 100000.00 100000.00 100000.00
> Ending capital 175889.18 106586.98 175889.18
> Net Profit 75889.18 6586.98 75889.18
> Net Profit % 75.89 % 6.59 % 75.89 %
> Exposure % 28.44 % 0.00 % 28.44 %
> Net Risk Adjusted Return % 266.88 % N/A 266.88 %
> Annual Return % 9.21 % 1.00 % 9.21 %
> Risk Adjusted Return % 32.38 % N/A 32.38 %
>
> The Long & Short backtest gives,
>
> Initial capital 100000.00 100000.00 100000.00
> Ending capital 921758.81 712441.67 315904.12
> Net Profit 821758.81 612441.67 215904.12
> Net Profit % 821.76 % 612.44 % 215.90 %
> Exposure % 66.78 % 38.28 % 28.50 %
> Net Risk Adjusted Return % 1230.56 % 1599.91 % 757.56 %
> Annual Return % 41.40 % 35.84 % 19.65 %
> Risk Adjusted Return % 62.00 % 93.62 % 68.96 %
>
> Notice the Long Net Profit is 612.44% and Short is 215.90% which is quite a
> bit different then when I ran them independently. Other columns are
> different as well but I'll focus on Net Profit % for now.
>
> I expect there is some compounding thing happening here but if someone asked
> me I couldn't explain it. Does anyone out there have a explanation.
>
> Thanks in advance,
>
> Ron
>
