แนะนำแนวทางการอ่านผล Backtest เพื่อวิเคราะห์ระบบการลงทุนในสไตล์ของ SiamQuant

1. A Beginner’s Guide To
Trading System Analysis
How to Get a Wisdom From Amibroker Backtesting Report

2. The Lecture Outline
1. Why Should We Read Backtesting Report!?
2. Good Measurement Characteristics & How to
Read Backtesting Report
3. A Better Way to Get More Insights with
Amibroker!!
QS

3. Why Should We Read
Backtesting Report!?
It’s a Financial Statement for Quants!

4. Quant’s Financial Statement

5. 1. Discovering Alphas1. Discovering Alphas

6. 2. Trading Psychology

7. 3. Financial Planing

8. How to Read Reports
A Good Measurement Characteristics

9. Good Measurement is ...

10. 1. Meaningful
Based on Goal, Relevant and Clearly Defined

11. 2. Simple
Logical, Understandable and Engaging

12. 3. Comparative
Quantitative, Normalized and Multi-Dimension

13. 4. Standard
Reliable, Repeatable and Time-Trackable

14. 5. Behavior Changing
Stat-Validity, Actionable and Easy to Collect

15. Getting a Wisdom from
Your Trading System
A Better Way to Do It with Amibroker

16. Trading Wisdom is a Goal

17. 3R Principle
Return, Risk and Robustness

18. Inputs : Portfolio Components & Trade List

19. Universe
All Stock
Filter
Time Frame
Daily
Order Management
Next Open
Risk
Management
Exit or Stop
- Close > P/E Mean
(252-Bar SMA)
- P/E <= 0
Entry
- Close < P/E Bottom
Band (-2SD)
- P/E > 0
Money
Management
3% of Total Equity
(Equal Weighted)
P/E Band Contrarian Strategy 25-09-2016
Ver.
2.0

20. Amibroker Basic Report
Portfolio and Trade List Analysis

21. Amibroker Portfolio Equity

22. Amibroker Underwater Equity

23. Amibroker Portfolio Component

24. Amibroker Trades Distribution

25. Amibroker Profit Table

26. Amibroker Performance Table
All trades Long trades Short trades
Initial capital 1000000.00 1000000.00 1000000.00
Ending capital 2937413.03 2937413.03 1000000.00
Net Profit 1937413.03 1937413.03 0.00
Net Profit % 193.74% 193.74% 0.00%
Exposure % 64.82% 64.82% 0.00%
Net Risk Adjusted Return % 298.91% 298.91% N/A
Annual Return % 11.38% 11.38% 0.00%
Risk Adjusted Return % 17.56% 17.56% N/A
Total transaction costs 0.00 0.00 0.00

27. Amibroker Trade Performance Table
All trades Long trades Short trades
All trades 367 367 (100.00 %) 0 (0.00 %)
Avg. Profit/Loss 5279.05 5279.05 N/A
Avg. Profit/Loss % 11.11% 11.11% N/A
Avg. Bars Held 154.84 154.84 N/A

28. All trades Long trades Short trades
Winners 233 (63.49 %) 233 (63.49 %) 0 (0.00 %)
Total Profit 3107039.08 3107039.08 0.00
Avg. Profit 13334.93 13334.93 N/A
Avg. Profit % 26.47% 26.47% N/A
Avg. Bars Held 128.06 128.06 N/A
Max. Consecutive 16 16 0
Largest win 107394.79 107394.79 0.00
# bars in largest win 171 171 0
Losers 134 (36.51 %) 134 (36.51 %) 0 (0.00 %)
Total Loss -1169626.05 -1169626.05 0.00
Avg. Loss -8728.55 -8728.55 N/A
Avg. Loss % -15.59% -15.59% N/A
Avg. Bars Held 201.42 201.42 N/A
Max. Consecutive 11 11 0
Largest loss -43823.88 -43823.88 0.00
# bars in largest loss 274 274 0

29. All trades Long trades Short trades
Avg. Profit/Loss 5279.05 5279.05 N/A
Avg. Profit/Loss % 11.11% 11.11% N/A
Avg. Bars Held 154.84 154.84 N/A
Max. trade drawdown -85195.75 -85195.75 0.00
Max. trade % drawdown -70.08 -70.08 0.00
Max. system drawdown -650405.29 -650405.29 0.00
Max. system % drawdown -37.55% -37.55% 0.00%
Recovery Factor 2.98 2.98 N/A
CAR/MaxDD 0.30 0.30 N/A
RAR/MaxDD 0.47 0.47 N/A
Profit Factor 2.66 2.66 N/A
Payoff Ratio 1.53 1.53 N/A
Standard Error 220538.81 220538.81 0.00
Risk-Reward Ratio 1.00 1.00 N/A
Ulcer Index 10.68 10.68 0.00
Ulcer Performance Index 0.56 0.56 N/A
Sharpe Ratio of trades 0.32 0.32 0.00
K-Ratio 0.06 0.06 N/A

30. The Main Problem is ...
It’s NOT Insightful & Comparative!

31. SQ Amibroker Analytics
Portfolio and Trade List Analysis

32. SQ Charts Power-Ups
SiamQuant’s Amibroker Chart Mutation

33. SQ Cumulative Equity

34. SQ Relative Drawdown

35. SQ Relative Longest Drawdown

36. SQ Portfolio Component

37. SQ Profit Table

38. SQ Additional Charts
Getting More From Your Daily Returns

39. SQ Total Open Position

40. SQ Daily Return

41. SQ Annual Return

42. SQ Annual Max. Drawdown

43. SQ Annual MAR Ratio

44. SQ Rolling CAGR
1 2 3 4 5 6 7 8 9 10

45. SQ Rolling CAGR
1 2 3 4 5 6 7 8 9 10

46. SQ Rolling CAGR
1 2 3 4 5 6 7 8 9 10

47. SQ Rolling CAGR
1 2 3 4 5 6 7 8 9 10

48. SQ Rolling CAGR
1 2 3 4 5 6 7 8 9 10

49. SQ Rolling CAGR
1 2 3 4 5 6 7 8 9 10

50. SQ Rolling CAGR
1 2 3 4 5 6 7 8 9 10

51. SQ Rolling CAGR
1 2 3 4 5 6 7 8 9 10

52. SQ Rolling CAGR
1 2 3 4 5 6 7 8 9 10

53. SQ Rolling CAGR
1 2 3 4 5 6 7 8 9 10

54. SQ Rolling CAGR

55. SQ Rolling GM. Sharpe Ratio

56. SQ Additional Tables
Getting More From Your Trade List

57. SQ Performance Overview Table
SiamQuant Additional Metrics Equity Benchmark (^SET) Differences
Start Date 2006-01-03 2006-01-03 2006-01-03
End Date 2015-12-30 2015-12-30 2015-12-30
Trading Days 2,442 2,442 0
Initial Capital 1,000,000.00 1,000,000.00 0.00
Ending Capital 2,937,413.00 1,775,012.00 1,162,401.00
Net Profit 1,937,413.00 775,012.00 1,162,401.00
Net Profit % 193.74% 77.50% 116.24%
Total Commission -0.00 0.00 -0.00
Total Commission to Net Profit % 0.00% 0.00% 0.00%
CAGR % 11.76% 6.10% 5.66%
Max Drawdown % -37.55% -58.02% 20.47%
Longest Drawdown (Months) 26.80 34.45 7.65
MAR Ratio 0.31 0.11 0.21
Geometric Sharpe Ratio 0.71 0.10 0.61
Information Ratio 0.38 0.00 0.38

58. SQ Annual Returns Table
SiamQuant Additional Metrics Equity Benchmark (^SET) Differences
Annual Return %
2006 12.34% -6.31% 18.65%
2007 16.71% 26.22% -9.51%
2008 -24.34% -47.56% 23.22%
2009 29.90% 63.25% -33.34%
2010 24.50% 40.60% -16.10%
2011 11.28% -0.72% 12.00%
2012 31.29% 35.76% -4.47%
2013 -3.10% -6.70% 3.60%
2014 23.77% 15.32% 8.45%
2015 4.50% -14.00% 18.50%

59. SQ Monthly Returns Table
SiamQuant Additional Metrics Equity Benchmark (^SET) Differences
Average Monthly Return %
Jan 1.04% -0.65% 1.69%
Feb 2.35% 2.96% -0.61%
Mar 2.61% 1.30% 1.31%
Apr 3.02% 3.49% -0.47%
May 1.16% -0.29% 1.45%
Jun -0.49% 0.41% -0.90%
Jul 0.92% 1.84% -0.92%
Aug 1.25% -0.53% 1.77%
Sep 0.44% 0.44% -0.00%
Oct -0.93% -0.70% -0.23%
Nov 0.56% -0.81% 1.37%
Dec -0.03% 0.62% -0.66%

60. SQ Alpha Statistics Table
SiamQuant Additional Metrics Equity Benchmark (^SET) Differences
Alpha Statistics
Best Year 31.29% (2012) 63.25% (2009) -31.96%
Worst Year -24.34% (2008) -47.56% (2008) 23.22%
Positive Month % 69.17% 60.83% 8.33%
Positive Year % 80.00% 50.00% 30.00%
Beating Benchmark (Monthly) % 48.33%
Beating Benchmark (Yearly) % 60.00%
Alpha 0.03
Beta 0.38
R-Squared 0.92
Correlation with Benchmark 0.75