Industrial Strength
Is that a good thing or a bad thing?
Thanks,
Howard
On Tue, Feb 9, 2010 at 9:00 PM, reefbreak_sd reefbreak...@yahoo.com wrote:
I am no expert in backtesting, you need to address those questions to
Howard Bandy on this forum or buy his EXCELLENT book Quantitative
I wouldn't presume what was meant by industrial strength, but I have to
say that the DVD was fantastic.
I'm currently doing an MsSci in Simulation, and some subjects towards a
Ms in Systems Engineering, and I think your video contained more value
and insight than half the compulsory text books
Well Howard as you can see from my comments - I'm a fan of yours. I'm the guy
that bought TWO copies of your book! The second copy was for a gift.
While I have a technical/engineering (MS Physical Chemistry) background I had
to struggle to understand parts of your lecture - which is a GOOD
Thanks. That helped a lot.
However, I am not especially happy with the following:
System test report window
correctly_annualized_perc_return = 100% * ( (final_value/initial_value) ^ (
365 / days_in_test ) - 1 )
where x^y means rising x to the power of y
The problem I find lays in knowing
Have you actually tried backtesting with 1,000,000 initial equity vs. 100,000?
I think that you will see that there is no difference at all in the metrics.
As described on the same page from which you found the formula, AmiBroker uses
*exposure* as the initial_value, where exposure is summed
I am no expert in backtesting, you need to address those questions to Howard
Bandy on this forum or buy his EXCELLENT book Quantitative Trading Systems
where he creates and backtests a variety of trading sysstems along with
commentary. I understand Howard is coming out with an advanced
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