2 questions

[shubh03]

Dear all,

i have 2quaries
1)how v know that our trading system is perfect (other then profit
means some ratio wise

2)is there any ratio between profit and system drawdown ?

thanks

 

[Happy_Singh]

1)how v know that our trading system is perfect (other then profit means some ratio wise

hmm ...... if you want Ratios . . . . there are more than you can handle

from Amibroker Help files . . . .

NEW BACKTESTER REPORT

Exposure % - 'Market exposure of the trading system calculated on bar by bar basis. Sum of bar exposures divided by number of bars. Single bar exposure is the value of open positions divided by portfolio equity.

Net Risk Adjusted Return % - Net profit % divided by Exposure %

Annual Return % - Compounded Annual Return % (CAR) - this is

Risk Adjusted Return % - Annual return % divided by Exposure %

Avg. Profit/Loss - (Profit of winners + Loss of losers)/(number of trades)

Avg. Profit/Loss % - '(% Profit of winners + % Loss of losers)/(number of trades)

Avg. Bars Held - sum of bars in trades / number of trades

Max. trade drawdown - The largest peak to valley decline experienced in any single trade

Max. trade % drawdown - The largest peak to valley percentage decline experienced in any single trade

Max. system drawdown - The largest peak to valley decline experienced in portfolio equity

Max. system % drawdown - The largest peak to valley percentage decline experienced in portfolio equity

Recovery Factor - Net profit divided by Max. system drawdown

CAR/MaxDD - Compound Annual % Return divided by Max. system % drawdown

RAR/MaxDD - Risk Adjusted Return divided by Max. system % drawdown

Profit Factor - Profit of winners divided by loss of losers

Payoff Ratio - Ratio average win / average loss

Standard Error - Standard error measures chopiness of equity line. The lower the better.

Risk-Reward Ratio - Measure of the relation between the risk inherent in a trading the system compared to its potential gain. Higher is better. Calculated as slope of equity line (expected annual return) divided by its standard error.

Ulcer Index - Square root of sum of squared drawdowns divided by number of bars

Ulcer Performance Index - (Annual profit - Tresury notes profit)/Ulcer Index'>Ulcer Performance Index. Currently tresury notes profit is hardcoded at 5.4. In future version there will be user-setting for this.

Sharpe Ratio of trades - Measure of risk adjusted return of investment. Above 1.0 is good, more than 2.0 is very good.
Calculation: first average percentage return and standard deviation of returns is calculated. Then these two figures are annualized by multipling them by ratio (NumberOfBarsPerYear)/(AvgNumberOfBarsPerTrade). Then the risk free rate of return is subtracted (currently hard-coded 5) from annualized average return and then divided by annualized standard deviation of returns.

K-Ratio - Detects inconsistency in returns. Should be 1.0 or more. The higher K ratio is the more consistent return you may expect from the system. Linear regression slope of equity line multiplied by square root of sum of squared deviations of bar number divided by standard error of equity line multiplied by square root of number of bars. More information: Stocks & Commodities V14:3 (115-118): Measuring System Performance by Lars N. Kestner

OLD BACKTESTER REPORT
Explanation of values:

Total net profit: This is total profit/loss realized by the test. Includes the closed-out value of the open position (if there is any).
Return on account: This is total profit/loss as a percentage of initial investment.
Total commissions paid: The amount of commissions paid during trades.
Open position gain/loss: The closed-out value of open position that existed at the end of the test.
Buy-and-hold profit: The total profit/loss realized by buy-and-hold strategy (including commission).
Buy-and-hold % return: The total buy-and-hold strategy return as a percentage of initial investment.
Bars in test: The number of bars tested (Overall summary shows sum of number of bars in all symbols).
Days in test: The number of days between first bar date and last bar date (overall summary shows arithmetic average of number of days accross the population of symbols under test)
System to buy-and-hold index: An index showing how much better/worse is the system compared to buy-and-hold strategy. A value of 0% means that system gives the same profit as buy-and-hold strategy. A value of 200% means that system gives 200% more profit than buy-and-hold strategy. A value of -50% means that system gives a half of the gains of buy-and-hold strategy.
Annual system % return: Calculated compound annual percentage return of the system (*see the note)
Annual B&H % return: Calculated compound annual percentage return of the buy and hold strategy (*see the note)
System drawdown: The largest equity dip experienced by the system (relative to the initial investment).
B&H drawdown: The largest equity dip experienced by the buy and hold strategy (relative to the initial investment).


Max. system drawdown: The largest point distance between equity peak value and the following trough value experienced by the system
Max. system % drawdown: The largest percentage distance between equity peak value and the following trough value experienced by the system
Max. B&H drawdown: The largest point distance between equity peak value and the following trough value experienced by the buy and hold strategy
Max. B&H % drawdown: The largest percentage distance between equity peak value and the following trough value experienced by the buy and hold strategy

Trade drawdown: The largest equity dip experienced by any single trade (relative to the trade's entry price).
Max. trade drawdown: The largest point distance between equity peak value and the following trough value experienced by any single trade
Max. trade % drawdown: The largest percentage distance between equity peak value and the following trough value experienced by any single trade


Total number of trades: The number of trades (winners + losers)
Percent profitable: The number of winning trades compared to total number of trades shown as a percentage
Profit of winners/Loss of losers: Total amount of money gained in winners/lost in losers.
Total # of bars in winners/losers: The number of bars spent during winning/losing trades
Largest winning/losing trade: The amount of biggest winner/loser
# of bars in largest winner/loser: The number of bars in the biggest winning/losing trade
Average winning/losing trade: The average of winning/losing trades (sum of winners/losers divided by a number of winning/losing trades)
Average # of bars in winners/losers: The average of number of bars in winning/losing trades (total number of bars in winners/losers divided by a number of winning/losing trades)
Max consec. winners/losers: The largest number of consecutive winning/losing trades.


Bars out of the market: The number of bars for which the system was completely out of the market (was neither long nor short). If you open and close the position during single day, even if you have no open position on market open and no position on close this day is NOT considered as out of the market.

Interest earned: The total interest earned between trades. Note that AmiBroker simulates O/N (overnight) deposits. This means that if you closed the position on Monday and opened the next one on Tuesday you earn interest for single O/N deposit.

Exposure: Shows how much you are exposed to the market. It is a ratio of bars in the market divided by total number of bars under test. (The number of bars in the market is given by total number of bars minus bars out of the market)

Risk adjusted ann. return: Shows annual return of the system (*see note) adjusted (divided) by market exposure. If your system gained 10% over one year with the exposure of 50% the adjusted return would be 20% (10%/0.5)

Ratio avg win/avg loss: The absolute value of the ratio of average winning trade to average losing trade
Profit factor: The absolute value of the ratio of the profit of winners to loss of losers
Avg. trade (win & loss): The average trade profit calculated as sum of winners and losers divided by the number of trades.

Happy

 

[shubh03]

hmm ...... if you want Ratios . . . . there are more than you can handle

from Amibroker Help files . . . .






Happy

hi happysingh,

from a member like u it is not expected to cut and pest what u did ...


i need to know practical experience from this forum regarding these ratios.

 

[Happy_Singh]

hi happysingh,

from a member like u it is not expected to cut and pest what u did ...


i need to know practical experience from this forum regarding these ratios.

you are just 1 post old and already know about all the members what is to be expected from them etc . . . :lol: . . .

hmmm Old wine new Bottle . . . .


anyway had no intentions to pest . . . please carry on with you quest

best luck for you to find what you are looking for . . .


Happy

 

[muthutrader]

Dear all,

i have 2quaries
1)how v know that our trading system is perfect (other then profit
means some ratio wise

2)is there any ratio between profit and system drawdown ?

thanks

Hi shubh03
Hit ratio is important
10 trades, 7or8 win ,2or 3 ST hit ,its ok, you r trading system is good
10 trades, 5win,5 ST hits, u need to develop the trading sys
10 trades,3or2 win ,7or 8 ST hit, don’t trade the sys
(1st do paper trade and go for a real trade )

happy trading

 

[shubh03]

you are just 1 post old and already know about all the members what is to be expected from them etc . . . :lol: . . .

hmmm Old wine new Bottle . . . .


anyway had no intentions to pest . . . please carry on with you quest

best luck for you to find what you are looking for . . .


Happy

b4 replying i check ur profile so i get idea abt u.
yes i m new to this forum but not to these type of forum s

btw thanks for ur reply
hope soon get answers of my quaries here

 

[ValueZone]

Hi shubh03
Hit ratio is important
10 trades, 7or8 win ,2or 3 ST hit ,its ok, you r trading system is good
10 trades, 5win,5 ST hits, u need to develop the trading sys
10 trades,3or2 win ,7or 8 ST hit, don’t trade the sys
(1st do paper trade and go for a real trade )

happy trading

hit rate has nothing to do with the profitability of a system. Even a 20 percent hit rate system can out perform a 100% hit rate system. risk reward is important not hit rate.

 

[Happy_Singh]

actually it all depends on trader, which of the ratio is more important . . .

the systems based on capturing a quick fixed profits with higher Win/Loss are preferred by some . . . others will be comfortable only with v high RR ones . . .

there are 100s of ratios . . . and all are important as they tell us about different aspects of the system

but first a trader needs to know him/herself . . .

only then they should worry about Sharpe ratio or Ulcer Performance Index

Happy

 

[muthutrader]

hit rate has nothing to do with the profitability of a system. Even a 20 percent hit rate system can out perform a 100% hit rate system. risk reward is important not hit rate.

Hi valueZone

how v know that our trading system is perfect, that’s a question, for that hit ratio is the key
risk reward ratio is for money management, not for trading SYS

happy trading

 

[Happy_Singh]

Hi valueZone

how v know that our trading system is perfect, that’s a question, for that hit ratio is the key
risk reward ratio is for money management, not for trading SYS

happy trading

Hi Muthu

We need to look at Expectancy, as vZ has pointed out, high win/loss does not necessarily translate into a profitable system . . .

Check out this link . . .

http://www.learningmarkets.com/determining-expectancy-in-your-trading/


Happy