Strategy Performance Report

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XIKON
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Strategy Performance Report

Postby XIKON » 12 Feb 2012

Dear MC,

I wonder if there is a way around the way buy and hold return is calculated in the performance report. It appears that the buy and hold return is calculated by dividing the initial capital by the entry price under the strategy to calculate the number of shares purchased however the number of shares is not rounded down to the nearest 1. So we end up with for example 162.6 shares. When the exit occurs the difference between the entry and exit price is multiplied by 162.6 shares and another problem which I have come across is that the buy and hold return is calculated up to the closure of the next bar after our startegy has got us out of the trade which I thought buy and hold return should calculate this from entry to exit under a startegy. I have done this based on a simple trade to get me in the market on 04/01/2000 and exit on 30/12/2011 and the buy and hold return should effectively be equal to the net profit of the strategy however there is a difference which I cannot seem to be able to explain.

Also under properties for testing startegy, if number of contracts/share is set to 1, it doesn't seem that the buy and hold return under the report will adjust to take into account the value of one contract/ share invested under the buy and hold strategy and it consider investing the whole capital.

I am not sure if I am using wrong settings which I am getting these conflicting figures. I would greatly appreciate your assistance.

Many thanks and kind regards,

XIKON

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Henry MultiСharts
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Re: Strategy Performance Report

Postby Henry MultiСharts » 16 Feb 2012

Hello Xikon,

Buy and hold is a strategy where all capital is invested to buy the maximum amount of shares (not integral value is possible) and hold the security for the data range present on the chart regardless of exits.

For example:
Initial capital is $100
Buy MSFT at 26.78 for all available capital. We buy 3.73 shares
Last price on the chart is 30.05
Buy hold return = (Last chart price-buy price) * amount of shares=
=(30.05-26.78) * 3.73 = 12.2

XIKON
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Re: Strategy Performance Report

Postby XIKON » 19 Feb 2012

Dear Henry,

Many thanks for your comments.

I was looking at an option to calculate the buy and hold return during the period of 2000 - 2011 however it seems that the buy and hold return is calculated to the last bar displayed on the chart. Is there a way for the performance report to base the figure of buy and hold return to end of period in question?

Also regarding the figures calculated under the performance report is there any guideline as to what formulas are used. In the literature available on the topic of technical analysis there seems to be different apporaches to calculation and want to make sure which formula is used. As a simple example, the return can be both normal return or a log return. I am testing the predictability of stock returns and not sure if the performance reports can be used for this purpose or that I will need to do my own calculations on excel.

On this note, can the report be tailored for example if normal returns are used to generate log returns instead. Also I noticed that z-score is used. Can t-test be used? Does powerlanguage come to our assistance in this respect to generate the report I have in mind?

Many thanks in advance for your assistance.

Best regards,

Arthur
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Henry MultiСharts
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Re: Strategy Performance Report

Postby Henry MultiСharts » 22 Feb 2012

Hello Arthur,

1) Buy and hold return is calculated for the data range present on the chart.
You can specify the period of 2000 - 2011 in the Data Range settings of Portfolio settings.

2) You can find the descriptions by clicking on the name of the group (Strategy analysis, Trade analysis, etc) or by clicking on individual values (net profit, gross profit, etc) in the Portfolio Performance report. The formulas used for calculation can be easily found over the Internet.
If you have any question on the calculation-please let us know.

3) Unfortunately performance report cannot be modified by user.
In case you would like to have any functionality added to the report - please submit a feature request to the Project Management of our web site so other users can vote for it: https://www.multicharts.com/pm/
During the calculation of the script you can write the values into a file, then process the file to perform the calculations you need.

XIKON
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Re: Strategy Performance Report

Postby XIKON » 23 Feb 2012

Hello Henry,

Many thanks for your advice. It is much appreciated.

Best regards,

Arthur


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