What are the different BackTesting Options available in Amibroker? And How to Read BackTest Report?
What are the different BackTesting Options available in Amibroker? And How to Read BackTest Report?
This window (accessible from Report button in Automatic analysis window) provides very useful information about the performance of a trading system under the test. The information included here can be customized using system test settings dialog.
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.
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