terlampir saya ada upload file perbandingan hasil BT bargain hunter & ichimoku, maaf tdk bisa attach karena ketika send selalu failed, jadi hanya bisa lewat upload file.
rgds
hb
--- In amibroker-4-bei@yahoogroups.com, Eco Syariah <esyariah@...> wrote:
>
> Mas Hengky,
>
> Kenapa filenya ndak di-attached di email jg... maksudte biar gampang
> bukanya... hehehe...
>
> Mpok Ami dan Excel beda cara penotalannya mas Hengky... nilai angka profit
> memang ditotal dari first row, kalau yg ini AB dan Excel sama cara
> penotalannya, tapi bedanya dicara perhitungan %profit.
>
> Di bawah saya copas dari menu help, cara membaca BT report.
>
> Regards,
> ES
>
> Reading backtest report
>
> To view the report of last backest simply click *Report* button in the
> automatic analysis window. To view results of ALL past backtest, click drop
> down arrow on the *Report *button and choose *Report Explorer* option. This
> will display the Report Explorer window that will show the list of all
> backtests performed. If you double click on the line - detailed report will
> be shown.
>
> New report is hugely enhanced compared to old one. It includes separate
> statistics for all, long and short sides as well as large number of new
> metrics. You can get short help on given figure by hovering your mouse over
> given field name. You will see the description in the tooltip. Short
> explanations are provided also below:
>
> *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)
>
> *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. The lower the better
>
> *Max. trade % drawdown *- The largest peak to valley percentage decline
> experienced in any single trade. The lower the better
>
> *Max. system drawdown* - The largest peak to valley decline experienced in
> portfolio equity. The lower the better
>
> *Max. system % drawdown* - The largest peak to valley percentage decline
> experienced in portfolio equity. The lower the better
>
> *Recovery Factor* - Net profit divided by Max. system drawdown
>
> *CAR/MaxDD *- Compound Annual % Return divided by Max. system % drawdown.
> Good if bigger than 2
>
> *RAR/MaxDD* - Risk Adjusted Return divided by Max. system % drawdown. Good
> if bigger than 2.
>
> *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. More information
> http://www.stanford.edu/~wfsharpe/art/sr/sr.htm<http://www.stanford.edu/%7Ewfsharpe/art/sr/sr.htm>.
> 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
>
> *See Also:*
>
> Old backtest report <http://w_report.html#old>
>
> Backtesting your trading ideas <http://h_backtest.html> article.
>
> Portfolio Backtesting <http://h_portfolio.html> article.
>
> Backtesting systems for futures contracts <http://h_futbacktest.html>article.
>
> Using AFL editor <http://w_afledit.html> section of the guide.
>
> Insider guide to backtester (newsletter
> 1/2002)<http://www.amibroker.com/newsletter/01-2002.html>
>
>
>
> 2010/12/31 Hengky B <hengkyb124@...>
>
> > mas Eco, terlampir di Files saya ada upload 2 file bargain hunter-1.csv &
> > ichimoku-1.csv hasil BT 1 jan - 31 des 2010 dgn modal awal 10 jt dan kalau
> > diperhatikan hasilnya, sepertinya ada yg aneh, ichimoku menghasil nilai
> > profit lebih besar tetapi angka persentase kecil, sedangkan bargain hunter
> > menghasilkan nilai profit lebih kecil tetapi angka persentase lebih besar.
> >
> > regards
> > hb
> >
> > --- In amibroker-4-bei@yahoogroups.com, Eco Syariah <esyariah@> wrote:
> > >
> > > Mas Hengky,
> > >
> > > Thanks udah mau belajar di akhir tahun ini... buat ukuran saya hasil BT
> > nya
> > > Bargain Hunter sudah cukup.
> > > Ichimoku sudah pernah BT juga dan hasilnya secara keseluruhan jauh
> > dibawah
> > > Bargain Hunter... tp mungkin cara BT saya yg dulu berbeda dgn AFL nya mas
> > > Wisnu...
> > >
> > > Kalau mas Hengky sudah coba BT pd beberapa sistem... saya yakin banyak
> > > pelajaran yg bisa diambil.
> > >
> > > Regards,
> > > ES
> > >
> > >
> > >
> > > On Fri, Dec 31, 2010 at 2:56 PM, Hengky B <hengkyb124@> wrote:
> > >
> > > > mas Eco, bagaimana dgn yg ini, cobo di BT dulu, lalu bandingkan
> > hasilnya
> > > > ???? siapa tahu hasilnya mungkin tdk mengecewakan.
> > > >
> > > > problemnya adalah pada real tradingnya. kalau mau ikuti pola BT berarti
> > > > harus pick semua stock dlm range BT, bukan hal yg gampang dlm
> > > > pelaksanaannya, kecuali memang BTnya terintegrasi ke automatic trading
> > > > system yg dimiliki para broker, sehingga BUY/SELL bisa running secara
> > > > otomatis. disamping itu perlu modal besar, agar bisa mengcover semua
> > stock
> > > > yg di pick dlm range BT.
> > > >
> > > > rgds
> > > > hb
> > > >
> > > >
> > >
> >
> >
> >
> >
> > ------------------------------------
> >
> > Apabila membutuhkan software AmiBroker, Realtime Intraday Data & Pelatihan
> > silahkan kontak : Dendo Valentino | Cell : 08159304868 | e-mail:
> > amibrokerfreak{at}yahoo.co.id | YM id : dendov |
> > http://www.facebook.com/dendo.amibrokerfreak |
> > http://www.amibroker-4-bei.org
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
>
------------------------------------
Apabila membutuhkan software AmiBroker, Realtime Intraday Data & Pelatihan silahkan kontak : Dendo Valentino | Cell : 08159304868 | e-mail: amibrokerfreak{at}yahoo.co.id | YM id : dendov | http://www.facebook.com/dendo.amibrokerfreak | http://www.amibroker-4-bei.org
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