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Registered User
Joined: 12/27/2005
Posts: 83
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Hi,
I just want to verify that I understand the definition on some informaiton on Backscanner:
# Trades
Avg Return/Trade
Avg Time/Trade
On the Total for the above Avg's is it using the #Trades Total as the divisor or the sum of the winning + losing trades as the divisor? I ask because sometimes the sum of the winning + losing trades is not equal to Total Trades. Is the total done the same way for Ann/Trade below?
Avg Gain/Loss ratio
Ann Return / Trade
The tool and functionality is really awesome and running a scan against a group of stocks has led to some interesting conclusions on how to pick portfolio's of stocks.
Thanks,
Craig
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Registered User
Joined: 12/27/2005
Posts: 83
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Hi,
I was looking for the actual formula or definition for these fields. Can you provide?
I want to make sure that I understand the definition and the calculation.
Thanks,
Craig.
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Worden Trainer
Joined: 10/1/2004
Posts: 18,819
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I looked at your BackScan Backscanner - wins + losses not equal to total
Everything is adding up for me there. Where do you see things not adding up? Please go to that post so you can clarify.
- Craig
Here to Help!
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Registered User
Joined: 12/27/2005
Posts: 83
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This post was about getting some definitions. Can I get those? I'll clarify in the other post. I wasn't trying to put two posts for the same subject.
Craig
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Worden Trainer
Joined: 10/1/2004
Posts: 18,819
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Your confusion on definitions appears to rise from the belief that the number of winning trades+losing trades does not equal the total.
# Trades
Total number of trades
Avg Return/Trade
Sum of the return on all trades divided by the total number of trades
Avg Time/Trade
Sum of the total time of all trades divided by the total number of trades.
- Craig
Here to Help!
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Registered User
Joined: 12/27/2005
Posts: 83
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Let's do this a different way. How about if you verify if my definitions are correct?
# Trades: Total number of long or short trades. When a condition comes up that an exit or entry could occur at the same time if the setting is "favor entries over exits", an exit does not occur and the existing trade continues or an entry for a new trade occurs if there isn'a an existing trade. In any event, the the number of trades is incremented until a trade closes and only one trade can be open at any time. "Favor exits over entries" is the opposite.
Avg Return/Trade = sum of all returns / sum of all trades
Avg Time/Trade = avg time in all trades / sum of all trades
Avg Gain/Loss ratio = sum of all gains / sum of all losses
Ann% = ???
Thanks,
Craig
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Worden Trainer
Joined: 10/1/2004
Posts: 18,819
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A trade opens when the buy conditions are met.
Only one trade can be open on a symbol at a time.
A trade stays open until the exit is met. If you favor entries over exits then the buy conditions cannot still be true for the exit to occur.
A trade is exited on the most recent bar.
# of trades is the number of trades with both an entry and exit.
Annualized % is the trade percentage divided by the ratio of number of days in trade divided by 365.
Does that help?
- Craig
Here to Help!
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Registered User
Joined: 12/27/2005
Posts: 83
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Got it thanks!
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Registered User
Joined: 12/30/2004
Posts: 35
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QUOTE (Craig_S) Annualized % is the trade percentage divided by the ratio of number of days in trade divided by 365.
Actually, (I think) the divisor Worden uses would be about 250 (trading days per year), because weekends and holidays are not counted for the days in trade calculation.
By the way, this method does not give true annualized gain. A 10% gain for half a year is not 20% annualized, it is 21% due to compounding.
I would prefer that the percent gain calculated by BackScanner represent the actual annual gain based on either an equal amount invested for each trade, or the amount of the previous sale of a stock reinvested in the next buy for that stock (user selectable). Days out of the stock could either show 0% gain or a user-specified gain for short-term funds in a money market account.
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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jmat2413,
I believe Craig was just trying to simplify things a bit to make the response easier to understand. Annualized % would actually be:
((((100 + % change) / 100) ^ (1 year / time held)) * 100) - 100
The best place to post your suggestion is the Comments/Suggestions forum.
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Registered User
Joined: 12/27/2005
Posts: 83
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Thanks Bruce. I was looking for the actual calculation.
Craig.
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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You're welcome.
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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