Normal
ah13, exactly the same code & parameters for backtesting - It's my Hybrid strategy. Now look at the differences in the 'Sharpe Ratio' between 2016/17 to 2017/18 (2016/2017 Sharpe Ratio means my system is a DUD, where as the same strategy 2017/18 it's not to bad - it's the same strategy, its the same code) Also cutting a time frame out of a sequence of trades is not a good indicator.MeaningI didn't close all the positions on 30th June 2016 & started fresh again but that the scenario I was asked for. Trading & metric's are more than using a calculator as Amibroker wants you to believe. My system has been formulated over the last 25 years of corrected historical data. What does that all mean, it means I have the confidence to bet my system is good.Here's a statistic to show you how confidence I am with my Strategy, Ive just cut that out of my Portfolio Manager(That's $5,486,712.00)[ATTACH=full]91490[/ATTACH]MetricsMetrics are one of the most academic topics about trading systems. There are so many of them that I find it difficult to know which one is more appropriate to evaluate my Hybrid system.The Sharpe ratio is considered adequate if returns are normally distributed, and this does not seem the case with my Hybrid Strategy (same for the K-Ratio that detects inconsistency in returns).Anyway, AmiBroker indicates some of my other metrics are clearly more favorable:CAR/MaxDD - Compound Annual % Return divided by Max. system % drawdown. Good if bigger than 2RAR/MaxDD - Risk Adjusted Return divided by Max. system % drawdown. Good if bigger than 2.Recovery factor - bad < 1, neutral between 1 and 2, good > 2Payoff ratio - bad < 1, neutral between 1 and 2, good > 2Metrics are guideline to let you know how your system performs over a set period.Skate.
ah13, exactly the same code & parameters for backtesting - It's my Hybrid strategy. Now look at the differences in the 'Sharpe Ratio' between 2016/17 to 2017/18 (2016/2017 Sharpe Ratio means my system is a DUD, where as the same strategy 2017/18 it's not to bad - it's the same strategy, its the same code) Also cutting a time frame out of a sequence of trades is not a good indicator.
Meaning
I didn't close all the positions on 30th June 2016 & started fresh again but that the scenario I was asked for. Trading & metric's are more than using a calculator as Amibroker wants you to believe. My system has been formulated over the last 25 years of corrected historical data. What does that all mean, it means I have the confidence to bet my system is good.
Here's a statistic to show you how confidence I am with my Strategy, Ive just cut that out of my Portfolio Manager
(That's $5,486,712.00)
[ATTACH=full]91490[/ATTACH]
Metrics
Metrics are one of the most academic topics about trading systems. There are so many of them that I find it difficult to know which one is more appropriate to evaluate my Hybrid system.
The Sharpe ratio is considered adequate if returns are normally distributed, and this does not seem the case with my Hybrid Strategy (same for the K-Ratio that detects inconsistency in returns).
Anyway, AmiBroker indicates some of my other metrics are clearly more favorable:
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.
Recovery factor - bad < 1, neutral between 1 and 2, good > 2
Payoff ratio - bad < 1, neutral between 1 and 2, good > 2
Metrics are guideline to let you know how your system performs over a set period.
Skate.
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