1. Wining Ratio (อัตราความแม่นยำ) ซึ่งจะถูกคำนวนจากจำนวนครั้งที่คุณมีกำไรจากการซื้อขายหุ้นของคุณทั้งหมด ยกตัวอย่างเช่น หากระบบของคุณมีความแม่นยำอยู่ที่ 40 ใน 100 ครั้ง คุณจะมี Wining Ratio เท่ากับ 40% และมี Losing Ratio (อัตราความผิดพลาด) อยู่ที่ 60% นั่นเอง
2. Payoff Ratio (อัตราต่อรอง หรือผลตอบแทนต่อความเสี่ยงในการซื้อขายโดยเฉลี่ย) ซึ่งจะถูกคำนวนจาก Average Wining Trades (ผลกำไรโดยเฉลี่ยในแต่ละครั้ง) หารด้วย Average Losing Trades (ผลขาดทุนโดยเฉลี่ยในแต่ละครั้ง) หรือพูดง่ายๆก็คือ มันบอกให้คุณรู้ว่าโดยเฉลี่ยแล้วคุณได้กำไรเป็นกี่เท่าของการขาดทุนที่เกิดขึ้น ยกตัวอย่างเช่น หากค่าของมันอยู่ที่ 3:1 นั่นหมายถึงคุณจะได้กำไรครั้งละสามเท่าของการขาดทุนนั่นเอง
3. Percent of Capital Exposed to Trading (ความเสี่ยง หรือสัดส่วนที่จะยอมขาดทุนคิดเป็นร้อยละของเงินทุน) พูดง่ายๆก็คือ นี่คือสิ่งที่คุณจะกำหนดเอาไว้ว่าคุณจะยอมเสียเงินครั้งละมากแค่ไหนในแต่ละครั้ง (คิดเป็น%) เมื่อเทียบจากเงินทุนที่คุณมีอยู่ ซึ่งโดยส่วนใหญ่สำหรับคนทั่วๆไปหรือมือใหม่นั้น มันไม่ควรที่จะเกินครั้งละ 2% ของเงินทุนที่คุณมีอยู่ หรือคุณอาจจะสามารถหามันออกมาจากสมการของ Kelly ที่ใช้หาค่า Optimal F ก็ได้
4. Profit Factor=Profit/Lost ค่าที่ดีควรจะมี profit factor มากกว่า 1 แปลความออกมาได้ง่ายๆ คือตอนกำไรให้กำไรมากกว่าตอนขาดทุน
Reading backtest report
http://www.amibroker.com/guide/h_report.html
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, also known as Expectancy ($) - (Profit of winners + Loss of losers)/(number of trades), represents expected dollar gain/loss per trade
Avg. Profit/Loss %, also known as Expectancy (%) - '(% Profit of winners + % Loss of losers)/(number of trades), represents expected percent gain/loss per trade
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
Color-coding in the backtest report (new in 5.60)
Version 5.60 brings enhanced backtest report: color-coding 'good' and 'bad' values in backtest report. Some of the metrics in the backtest report are color-coded. Blue means "neutral", Green means "good", Red means "bad". Metrics that are not colorized are always black.
This color coding is of course arbitrary and should be used as guideance only. Treat 'red' as a warning flag and advice to check the value in detail.
As of now the following metrics are colorized:
Net Profit, Net Profit % - bad < 0, good > 0
Annual Profit %, bad < 0, neutral betwen 0 and 10, good > 10
RAR % bad < 0, good > (10 / Exposure)
Avg. Profit/Loss all trades (Expectancy $) - bad < 0, good > 0
Avg Profit/Loss % all trades (Expectancy %) - bad < 0, good > 0
Max. system % drawdown - bad: dd worse than -30%, neutral: dd between -30 and -10%, good - -10% to 0%
CAR/MaxDD, RAR/MaxDD - bad < 1, neutral between 1 and 2, good > 2
Recovery factor - bad < 1, neutral between 1 and 2, good > 2
Payoff ratio - bad < 1, neutral between 1 and 2, good > 2
http://www.amibroker.com/guide/h_report.html
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.
*Note: Calculation method used for annual percentage returns:
Most of the software (including two the most popular so-called professional packages) use very simple annualization method based on the following formula:
simple_annualized_percentage_return = percentage_return * ( 365 / days_in_test );
unfortunatelly this method is wrong and very misleading since it would tell you that annual return is 22% when your system earned 44% during two years. This value is too optimistic. In fact annual return in this case is only 20%: if your initial investment was 10000 you earn 20% during the first year so you then get 12000 and 20% the second year that gives you 14400 = ( 12000 * 120 % ). So after two years you earned 44% but annually it is only 20%.
AmiBroker is one of the few programs that calculates annual returns correctly and will give you correct value of 20% as shown in the example above. The formula that AmiBroker uses for annual return calculation is as follows:
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.
