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                                                   Performance Metrics of Buy and Hold

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Amritendu Maji
2017-07-28 16:35:53


I read the How To on adding additional data to the performance metrics. However, I want to see the additional data for the Buy and Hold section. In addition to CAGR and MDD, I would also like to see the Sharpe, Ulcer Index etc. That way, comparing it with the trading system will be easier. Sometimes, CAGR and MDD is not the only things to look at.

Thank you.



QuantShare
2017-07-29 05:27:40

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which "Buy and Hold section" are you referring to?


Amritendu Maji
2017-07-29 10:25:16

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When we look at the back testing results, I would like to see those metrics for buy and hold. That tells me if trading this system is worth it or not when compared to buy and hold.

Thank you.



QuantShare
2017-07-30 12:41:04

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Sorry I don't understand. Please explain in details where exactly (which tab for example) you want to see these results.
Are you referring to the table at the top in the simulation report?



Amritendu Maji
2017-07-30 20:48:22

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I am referring to the Statistics Tab in the report window or it can be another tab. I don't see the details for Buy and Hold. It is very important because it gives an idea whether using the system is worth it or not.

For example, the following items are available in Amibroker:

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.
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 B&H % return: Calculated compound annual percentage return of the buy and hold strategy (*see the note)
B&H drawdown: The largest equity dip experienced by the buy and hold strategy (relative to the initial investment).

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

Two additional items that will help:
B&H Sharpe
B&H Ulcer Index

If you can incorporate them as a separate download item that we can add to the system, then it will be very helpful. For multiple symbols, an equally distributed portfolio for all the symbols is used for B&H calculations.

Thank you.




QuantShare
2017-07-31 06:27:05

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Understood now.
When you create your trading system, select "Settings" tab at the top , click on "Capital" then define a reference symbol. Example: SPY (S&P 500 ETF).

In the Statistics tab you will see the strategy beta, alpha, r squared, correlation vs benchmark.
We do not provide the statistics you are looking for. However, you can create them in a money management script.



Amritendu Maji
2017-07-31 12:12:43

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Thank you for the pointer.

Can you point me to an example that I can use as a starting point?

Thank you.



Amritendu Maji
2017-07-31 12:17:48

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Found some examples that I need to try. Please disregard above message.

https://www.quantshare.com/index.php?option=Tabs&tabIndex=0&type=AMM&order=avg_rate



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