avg annual return discrepancy

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avg annual return discrepancy

Postby timr411 » Thu May 14, 2015 3:27 pm

Why is there a difference between the xPortAPR value shown in the Combination Results Listing and what is shown for a given portfolio size in the Detailed Analysis > Trades Report > Performance > Average Annual Return of that combination? Shouldn't they be the same? In one example, the 5PortAPR in the Results Listing showed 21.49 while the detailed analysis of this combination showed Average Annual Return for PF=5 to be 9.54. That's a big difference!
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Re: avg annual return discrepancy

Postby Overload » Thu May 14, 2015 6:42 pm

Very good question, but the answer is complicated. The answer has to do with the fact that the commissions are calculated slightly differently in the 2 reports. If you were to turn commissions off, I believe the returns should then match, assuming all other settings are identical. It has been a number of years since I've delved into this, but the commissions are the primary difference as I recall.

You are right that a difference between 21.49% and 9.54% is large. My guess is that this would normally happen with a system that has a larger number of trades (i.e. shorter holding periods), and smaller investment per trade so that the commissions take up a larger percentage of the profit. But I'm only speculating on that.

The first thing you should do is make sure that both are using the exact same settings. To do this, you should:

1) Right-click on the result in the Combination Results Listing and select "Rerun Combination".
2) Right-click on the result in the Combination Results Listing and select "Run Detailed Analysis".

Then check the results of the 2 reports again and see if they are still off. If so, it would be easiest for me if I could run your system here and then give you a detailed rundown of the numbers, and how they are created. To send me a copy, you should right-click on the result in the Combination Results Listing and select "Export Selected Results". This will bring up the Export Database window. Enter a valid filename, click OK to save the Export File, and then e-mail a copy to me at support@stratasearch.com. I should then be able to run a pretty close duplicate here and can give you additional information.

Pete
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