A few days ago I ran a portfolio backtest on data starting January 2012. The report returned some astronomical Calmer numbers.
I fail to understand this as Calmer Ration requires at least 3 years of data, and a 3.0 Clamer is outstanding. None of the numbers I got were lower than 5.
The report is 31MB; therefore, not attached.
Khalid
PERFORMANCE METRICS IN PERFORMANCE REPORTS
- JoshM
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There's indeed not a lot of activity from MC support on the forum lately, but according to MC support earlier this week..Would not MultiCharts please care to respond?
I suppose they're all working on the release of MC 8 Release Candidate...we have been receiving a higher than usual number of inquiries.
I do wonder if TJ is on a vacation, since I haven't seen a post from him in a while here (or I looked in the wrong places ).
On-topic: I suppose the Performance Report annualizes the return and then calculates the Calmer ratio on this, but I can't prove this assumption mathematically.
Edit: According the the Performance Report, all available data is used when there is less than 3 years available: So, I suppose that means the Calmar Ratio can only be used when you have at least three years of data. And if you have less than 3 year, it uses the return over that period as a substitute for the 3 year return.
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More on MAR Ratio, by Joe Ross:
I always felt the single most cause for investors pain is unrealistic expectations. Investing/finance is the only field in the world where everyone is a genius. At parties, I don't even tell people what I do. I tell them I'm a bricklayer. If I mention I'm in finance, or trading, guaranteed, within 45 seconds they're telling me what I should buy or sell. Ever meet a brain surgeon and then assume you know more than him about brain surgery? Only in finance. Nope, when I'm socializing I'm a bricklayer. But here's one thing this bricklayer knows. Unrealistic expectations will blow you up. So what's realistic. A quick, easy metric to use is called a MAR Ratio or Managed Accounts Reports Ratio. It is simply the average compounded return divided by the one time worst drawdown. Translated into, the price you must pay to earn those returns in a specific strategy. So what's a good MAR ratio. Buffett, Dennis, Eckhardt, Neff, Dolphin, Saxon; all 'Hall of Fame' managers have a MAR ratio less than 1/2. So if you're shooting for a 20% return per year, well you can absolutely count on at least 40% drawdown – but only if you're as good as the above list. You need a good five years or so to get a ratio that means anything. The law of large numbers always results in some clown making 60% returns for a year or two only to get blown up the next. The only exception I noticed is option writing strategies. They can produce MAR ratio's of many multiples for 5–6 years, but then they usually blow up. To make money in those types of strategies you really have to toe the line, and eventually, well, you fall over it. So if you see some extraordinary returns with little or no risk, well, maybe you have the Midas gold touch, but then again maybe it's just fools gold. Caveat emptor!
- TJ
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I only answer the easy questions....
I do wonder if TJ is on a vacation, since I haven't seen a post from him in a while here (or I looked in the wrong places ).
....
I leave the difficult ones to JoshM et al.
...and the questions have been difficult lately.
- JoshM
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Haha How calculated of you.I only answer the easy questions.
I leave the difficult ones to JoshM et al.
...and the questions have been difficult lately.
Have a nice weekend!
- Henry MultiСharts
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Calmar ratio = (minimum acceptable rate of return/12) / AbsValue (Max strategy drawdown %).
Minimum acceptable rate of return is user specified in Strategy performance report->Settings->Financial (please see calmar1.png).
You need to get Max strategy drawdown % from Periodical analysis->Monthly returns and drawdowns (%)-the lowest value (calmar2.png)
For example Minimum acceptable rate of return =2.
Max strategy drawdown = -0.00319
Calmar ratio=(2/12) / 0.00319=0.1666666666666667/0.00319=52.24660397074191 (calmar3.png)
Minimum acceptable rate of return is user specified in Strategy performance report->Settings->Financial (please see calmar1.png).
You need to get Max strategy drawdown % from Periodical analysis->Monthly returns and drawdowns (%)-the lowest value (calmar2.png)
For example Minimum acceptable rate of return =2.
Max strategy drawdown = -0.00319
Calmar ratio=(2/12) / 0.00319=0.1666666666666667/0.00319=52.24660397074191 (calmar3.png)
- Attachments
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- calmar1.png
- (103.86 KiB) Downloaded 726 times
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- calmar2.png
- (146.22 KiB) Downloaded 727 times
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- calmar3.png
- (75.35 KiB) Downloaded 728 times