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 . 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:
Backtesting your trading ideas article.
Portfolio Backtesting article.
Backtesting systems for futures contracts article.
Using AFL editor section of the guide.
Insider guide to backtester (newsletter 1/2002)
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
> >
> >
>
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