It might help to review how AmiBroker handles signals: http://www.amibroker.com/guide/h_portfolio.html
Any time you add more signals, you change the outcome, since holding a position will prevent acting on new signals until the original position is exited (unless coded otherwise). long and short = more signals = different positions taken = different redundant signals skipped = different outcome. Mike --- In amibroker@yahoogroups.com, Keith McCombs <kmcco...@...> wrote: > > Ron -- > You are using portfolio back testing. So, when your system goes long, > it is reinvesting profits from previous long AND short trades. > Likewise, when your system goes short, it is reinvesting profits from > previous short AND long trades. Life is good. > -- Keith > > On 7/22/2010 10:02, Ron wrote: > > > > > > Let me attempt to be more clear, > > > > When I run my system in long only I get the total and long columns on > > the report for Net Profit of 458.76%, > > > > Net Profit % 458.76 % 458.76 % 6.59 % > > > > When I run it short I get the total and short columns on the report > > for Net Profit of 75.98%, > > > > Net Profit % 75.89 % 6.59 % 75.89 % > > > > When I run it long and short I get Net Profit total of 821.76%, long > > of 612.44% and short of 215.90%, > > > > Net Profit % 821.76 % 612.44 % 215.90 % > > > > Why is long column for Net Profit% not the same for the long only and > > long and short run? > > > > And same question for the short column on the short only and long and > > short run? > > > > Ron > > --- In amibroker@yahoogroups.com <mailto:amibroker%40yahoogroups.com>, > > "Matthias K." <meridian202@> wrote: > > > > > > Hi, > > > > > > It's very hard to understand the system's logic only by numbers. But > > as a > > > matter of fact you identified the problem already: when you're > > testing long > > > only, the shorts are skipped, thus it'll result in a very different > > equity > > > curve as compared to the result when trading long and short together. So > > > far, if everything went right, you just figured out the difference of > > > trading a long-only system and a short-only system. > > > > > > > > > > > > If trading stocks, one might consider the long-side only because the > > indices > > > and stocks sort of have a long-bias. In order to smoothen your > > equity curve, > > > you might want to combine a short and a long system. The result is > > something > > > like you're showing here. It'll pretty much enable you to make money in > > > both bull and bear markets and ideally smoothens out the equity > > curve and > > > reduces drawdowns and flat periods. Looks good to me if your coding > > has been > > > right and doesn't look into the future. > > > > > > > > > > > > Always: > > > > > > > > > > > > CAR/MDD ratio: above 1,5 over 10 years time is outstanding, as it's > > a risk > > > adjusted measure, it'll equal/weigh up profits versus > > losses|drawdown and > > > will not consider "net profit only" > > > > > > > > > > > > To sum it up: the more trades you have, the longer your backtesting > > period > > > is, the higher your CAR/MDD ratio: the better your system. Don't > > forget to > > > include commissions/ spreads, anyhow. They might deteriorate your big > > > picture. Especially with mid-caps. > > > > > > > > > > > > A good custom backtest metric might be a combination of number of > > trades and > > > CAR/MDD, so to say, make 50 Trades per year and still give a CAR/MDD > > ratio > > > above 1. > > > > > > > > > > > > Greetings > > > > > > > > > > > > M > > > > > > > > > > > > From: amibroker@yahoogroups.com <mailto:amibroker%40yahoogroups.com> > > [mailto:amibroker@yahoogroups.com > > <mailto:amibroker%40yahoogroups.com>] On Behalf > > > Of Ron > > > Sent: Donnerstag, 22. Juli 2010 06:31 > > > To: amibroker@yahoogroups.com <mailto:amibroker%40yahoogroups.com> > > > Subject: [amibroker] Backtest Report Long/Short trades columns? > > > > > > > > > > > > > > > > > > I have a strategy that over time is either long or short but not > > both at the > > > same time. I'm having difficulty understanding the Long and Short trades > > > columns in the back test report when I run the back test in Long and > > Short > > > mode. > > > > > > Long only backtest gives (Net Profit 458.76%) > > > > > > Initial capital 100000.00 100000.00 100000.00 > > > Ending capital 558757.12 558757.12 106586.98 > > > Net Profit 458757.12 458757.12 6586.98 > > > Net Profit % 458.76 % 458.76 % 6.59 % > > > Exposure % 38.28 % 38.28 % 0.00 % > > > Net Risk Adjusted Return % 1198.47 % 1198.47 % N/A > > > Annual Return % 30.78 % 30.78 % 1.00 % > > > Risk Adjusted Return % 80.42 % 80.42 % N/A > > > > > > Short only backtest gives (Net Profit 75.89%) > > > > > > Initial capital 100000.00 100000.00 100000.00 > > > Ending capital 175889.18 106586.98 175889.18 > > > Net Profit 75889.18 6586.98 75889.18 > > > Net Profit % 75.89 % 6.59 % 75.89 % > > > Exposure % 28.44 % 0.00 % 28.44 % > > > Net Risk Adjusted Return % 266.88 % N/A 266.88 % > > > Annual Return % 9.21 % 1.00 % 9.21 % > > > Risk Adjusted Return % 32.38 % N/A 32.38 % > > > > > > The Long & Short backtest gives, > > > > > > Initial capital 100000.00 100000.00 100000.00 > > > Ending capital 921758.81 712441.67 315904.12 > > > Net Profit 821758.81 612441.67 215904.12 > > > Net Profit % 821.76 % 612.44 % 215.90 % > > > Exposure % 66.78 % 38.28 % 28.50 % > > > Net Risk Adjusted Return % 1230.56 % 1599.91 % 757.56 % > > > Annual Return % 41.40 % 35.84 % 19.65 % > > > Risk Adjusted Return % 62.00 % 93.62 % 68.96 % > > > > > > Notice the Long Net Profit is 612.44% and Short is 215.90% which is > > quite a > > > bit different then when I ran them independently. Other columns are > > > different as well but I'll focus on Net Profit % for now. > > > > > > I expect there is some compounding thing happening here but if > > someone asked > > > me I couldn't explain it. Does anyone out there have a explanation. > > > > > > Thanks in advance, > > > > > > Ron > > > > > > > >
