Comment on EA's for auto buy/sell signals - Pi

Maruthamani P commented on 26 Jan 2018, 10:09 PM

Hi Mr.Nithin,

I copy pasted EMA3-15 code back test result of JPAss-EQ

11/27/2017 9:15:59 AM to 1/25/2018 3:15:59 PM
Total number of trades: 31
Average number of trades per month: 17
Number of profitable trades: 8
Number of losing trades: 23
Total profit: 12.1000
Total loss: -4.5500
Percent profit: 62.397%
Largest profit: 6.7000
Largest loss: -0.8000
Maximum Drawdown: 0.0000
Maximum Drawdown (Monte Carlo): 0.0000
Compound Monthly ROR: 3.8239
Standard deviation: 6.97585120
Annualized standard deviation: 9.86534338
Downside deviation (MAR = 10%): 0.00000000
Value Added Monthly Index (VAMI): 1.00004298
Sharpe ratio (RFR = 5%): 1.07513761
Annualized Sharpe ratio (RFR = 5%): 1.52047419
Sortino ratio (MAR = 5%): 0.00000000
Annualized Sortino ratio (MAR = 5%): 0.00000000
Sterling ratio (MAR = 5%): 0.00000000
Calmar ratio: 0.00000000

“Risk to reward ratio: -0.188

11/29/2017 11:30:59 AM,LONG,18.7500
11/29/2017 11:45:00 AM,EXIT LONG,18.6500 Loss -0.1
11/30/2017 2:15:00 PM,LONG,18.3000
11/30/2017 3:00:00 PM,EXIT LONG,18.0500 Loss -0.25
12/1/2017 9:15:59 AM,LONG,18.3500
12/1/2017 11:15:00 AM,EXIT LONG,18.2500 Loss -0.1
12/5/2017 2:00:00 PM,LONG,17.1000
12/6/2017 9:15:59 AM,EXIT LONG,16.9500 Loss -0.15
12/7/2017 9:30:00 AM,LONG,16.7500
12/7/2017 12:30:00 PM,EXIT LONG,16.7500 Profit = 0
12/7/2017 12:45:00 PM,LONG,16.8500
12/7/2017 12:59:59 PM,EXIT LONG,16.7500 Loss = -0.1
12/7/2017 1:15:00 PM,LONG,16.8000
12/7/2017 1:45:59 PM,EXIT LONG,16.7500 Loss =-0.05
12/7/2017 2:45:00 PM,LONG,16.9000
12/11/2017 9:30:00 AM,EXIT LONG,17.7500 Profit =0.85
12/11/2017 2:15:00 PM,LONG,17.7500
12/11/2017 3:00:00 PM,EXIT LONG,17.6000 Loss =-0.15
12/12/2017 10:45:59 AM,LONG,17.6500
12/12/2017 11:30:59 AM,EXIT LONG,17.6000 Loss =-0.05
12/12/2017 11:45:00 AM,LONG,17.6500
12/13/2017 9:59:59 AM,EXIT LONG,17.8000 Profit =0.15
12/13/2017 10:30:00 AM,LONG,18.0000
12/13/2017 1:45:59 PM,EXIT LONG,18.1000 Profit =0.1
12/13/2017 3:15:59 PM,LONG,18.2500
12/14/2017 9:30:00 AM,EXIT LONG,17.9500 Loss =-0.3
12/14/2017 2:00:00 PM,LONG,17.9000
12/14/2017 2:45:00 PM,EXIT LONG,17.7500 Loss= -0.15
12/15/2017 9:30:00 AM,LONG,17.9000
12/15/2017 9:45:00 AM,EXIT LONG,17.7500 Loss= -0.15
12/19/2017 3:00:00 PM,LONG,17.1000
12/20/2017 9:15:59 AM,EXIT LONG,16.8500 Loss = -0.25
12/20/2017 11:30:59 AM,LONG,17.0000
12/21/2017 3:15:59 PM,EXIT LONG,18.4500 Profit =1.45
12/22/2017 9:15:59 AM,LONG,18.6500
12/22/2017 11:30:59 AM,EXIT LONG,18.5000 Loss =-0.15
12/26/2017 9:15:59 AM,LONG,18.6500
1/1/2018 9:15:59 AM,EXIT LONG,25.3500 Profit =6.7
1/1/2018 12:00:00 PM,LONG,26.2000
1/1/2018 2:45:00 PM,EXIT LONG,25.4000 Loss =-0.8
1/2/2018 1:30:00 PM,LONG,24.5000
1/2/2018 1:45:59 PM,EXIT LONG,24.0500 Loss =-0.45
1/3/2018 9:15:59 AM,LONG,24.8000
1/3/2018 12:59:59 PM,EXIT LONG,24.6500 Loss =-0.15
1/4/2018 9:15:59 AM,LONG,24.7000
1/4/2018 12:45:00 PM,EXIT LONG,24.6500 Loss =-0.05
1/5/2018 9:15:59 AM,LONG,24.7000
1/5/2018 11:15:00 AM,EXIT LONG,24.3500 Loss =-0.35
1/5/2018 1:30:00 PM,LONG,25.5000
1/8/2018 2:45:00 PM,EXIT LONG,25.4000 Loss =-0.1
1/10/2018 9:45:00 AM,LONG,23.9500
1/10/2018 2:45:00 PM,EXIT LONG,24.1000 Profit =0.15
1/11/2018 12:30:00 PM,LONG,23.9500
1/11/2018 12:45:00 PM,EXIT LONG,23.8500 Loss =-0.1
1/12/2018 9:59:59 AM,LONG,23.8500
1/12/2018 10:30:00 AM,EXIT LONG,23.6500 Loss =-0.2
1/15/2018 9:59:59 AM,LONG,23.3500
1/15/2018 1:30:00 PM,EXIT LONG,23.2000 Loss =-0.15
1/17/2018 11:30:59 AM,LONG,21.6500
1/18/2018 12:30:00 PM,EXIT LONG,22.8500 Profit =1.2
1/19/2018 2:00:00 PM,LONG,21.1000
1/22/2018 12:45:00 PM,EXIT LONG,22.5500 Profit =1.45
1/23/2018 10:15:00 AM,LONG,22.2500
1/23/2018 12:45:00 PM,EXIT LONG,22.1000 Loss =-0.15
1/25/2018 9:15:59 AM,LONG,21.8500
1/25/2018 1:15:00 PM,EXIT LONG,21.7500 Loss =-0.1
1/25/2018 2:30:59 PM,LONG,22.0000 Profit =0

HENCE, TOTAL LOSS = Rs. -4.55

TOTAL PROFIT = Rs. 12.05

Net Profit= Rs.7.5

Profit Percentage = 62.397%

FURTHER, I HAVE CALCULATED & PASTED PROFIT & LOSS OF EACH TRANSACTIONS ABOVE FOR YOUR REFERENCE.

In above case, Risk to Reward Ratio = 7.5 / (-4.55) = 1.648 OR 62.397% / (-4.55) = 0.137; Whereas back test gives -0.188

I am very confused in UNDERSTANDING RISK TO REWARD RATIO GIVEN IN PI BACK TEST REPORT, PL guide me how it is being calculated step by step in detail.. I discussed with few traders, nobody has answer.. And How Negative values arrives.. My understanding if I keep 1 risk to 3 profit, i.e, 1:3 = 1/3= 0.333 OR 3 Profit to 1 Risk, i.e, 3:1 = 3/1 = 3 vice-versa.
Which is correct? how zerodha pi calculates?

Pl answer. Thanks

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