Amibroker Runs Test
The Runs Test is a statistic test for checking if an occurrence of runs (for us a run is a sequence of winning or losing trades) may be considered random or not.
I added the Runs Test calculation to the AFL script for Consecutive Winning or Losing Trades calculation.
The calculation is the same you can read on adaptrade.com. Result > 1.96 means positive dependency: wins follow wins and losses follow losses. Result < -1.96, means wins tend to follow losses, and losses tend to follow wins.
The results is something like this:
The updated AFL script is downloadable here.
Include it on top of your AFL trading system with an #include_once instruction.
Or copy and past it on the top of your AFL trading system.
The previous post on this subject is here.
I added the Runs Test calculation to the AFL script for Consecutive Winning or Losing Trades calculation.
The calculation is the same you can read on adaptrade.com. Result > 1.96 means positive dependency: wins follow wins and losses follow losses. Result < -1.96, means wins tend to follow losses, and losses tend to follow wins.
The results is something like this:
Statistics | Charts | Trades | Formula | Settings | Symbols
| Statistics |
|---|
| All trades | Long trades | Short trades | |
|---|---|---|---|
| Initial capital | 100000.00 | 100000.00 | 100000.00 |
| Ending capital | 112575.00 | 108800.00 | 103775.00 |
| Net Profit | 12575.00 | 8800.00 | 3775.00 |
| Net Profit % | 12.57 % | 8.80 % | 3.77 % |
| Exposure % | 0.10 % | -0.00 % | 0.10 % |
| Net Risk Adjusted Return % | 12833.00 % | -330809.02 % | 3750.63 % |
| Annual Return % | 12.69 % | 8.88 % | 3.81 % |
| Risk Adjusted Return % | 12945.83 % | -333668.77 % | 3782.30 % |
| All trades | 32 | 14 (43.75 %) | 18 (56.25 %) |
| Avg. Profit/Loss | 392.97 | 628.57 | 209.72 |
| Avg. Profit/Loss % | 26.20 % | 41.90 % | 13.98 % |
| Avg. Bars Held | 1.44 | 2.00 | 1.00 |
| Winners | 27 (84.38 %) | 13 (40.63 %) | 14 (43.75 %) |
| Total Profit | 18750.00 | 8800.00 | 9950.00 |
| Avg. Profit | 694.44 | 676.92 | 710.71 |
| Avg. Profit % | 46.30 % | 45.13 % | 47.38 % |
| Avg. Bars Held | 1.48 | 2.00 | 1.00 |
| Max. Consecutive | 12 | 13 | 7 |
| Largest win | 1475.00 | 1475.00 | 800.00 |
| # bars in largest win | 2 | 2 | 1 |
| Losers | 5 (15.63 %) | 1 (3.13 %) | 4 (12.50 %) |
| Total Loss | -6175.00 | 0.00 | -6175.00 |
| Avg. Loss | -1235.00 | 0.00 | -1543.75 |
| Avg. Loss % | -82.33 % | 0.00 % | -102.92 % |
| Avg. Bars Held | 1.20 | 2.00 | 1.00 |
| Max. Consecutive | 2 | 1 | 1 |
| Largest loss | -3225.00 | 0.00 | -3225.00 |
| # bars in largest loss | 1 | 0 | 1 |
| Max. trade drawdown | -3225.00 | 0.00 | -3225.00 |
| Max. trade % drawdown | -83.33 % | 0.00 % | -83.33 % |
| Max. system drawdown | -3225.00 | 0.00 | -3225.00 |
| Max. system % drawdown | -3.12 % | 0.00 % | -3.20 % |
| Recovery Factor | 3.90 | N/A | 1.17 |
| CAR/MaxDD | 4.07 | N/A | 1.19 |
| RAR/MaxDD | 4152.70 | N/A | 1182.48 |
| Profit Factor | 3.04 | N/A | 1.61 |
| Payoff Ratio | 0.56 | N/A | 0.46 |
| Standard Error | 1446.00 | 417.76 | 1312.22 |
| Risk-Reward Ratio | 8.98 | 21.16 | 3.16 |
| Ulcer Index | 1.00 | 0.00 | 1.22 |
| Ulcer Performance Index | 7.25 | N/A | -1.30 |
| Sharpe Ratio of trades | 6.16 | 22.95 | 3.15 |
| K-Ratio | 0.1614 | 0.3801 | 0.0568 |
| Consecutive Winners #1 | 0 | 0 | 0 |
| Consecutive Winners #2 | 0 | 0 | 2 |
| Consecutive Winners #3 | 1 | 0 | 1 |
| Consecutive Winners #4 | 0 | 0 | 0 |
| Consecutive Winners #5 | 0 | 0 | 0 |
| Consecutive Winners #6 | 2 | 0 | 0 |
| Consecutive Winners #7 | 0 | 0 | 1 |
| Consecutive Winners #8 | 0 | 0 | 0 |
| Consecutive Winners #9 | 0 | 0 | 0 |
| Consecutive Winners #10 | 0 | 0 | 0 |
| Consecutive Winners #11 | 0 | 0 | 0 |
| Consecutive Winners #12 | 1 | 0 | 0 |
| Consecutive Winners #13 | 0 | 1 | 0 |
| Consecutive Losers #1 | 3 | 0 | 3 |
| Consecutive Losers #2 | 0 | 0 | 0 |
| Runs Test | -1.01 | -2.45 | 0.56 |
The updated AFL script is downloadable here.
Include it on top of your AFL trading system with an #include_once instruction.
Or copy and past it on the top of your AFL trading system.
The previous post on this subject is here.
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