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Dear David,
You can calculate this in Excel from exported trade list but
this is not an easy task.
You have to be aware that backtesting over entire market can
give you very big required portfolio size.
Maximum is (number of stocks in test)*(single stock portfolios
size = 10000 by default).
Even if I add the req. portfolio size calculation you can not
be assured that the historical
results will be reproductable in the future. I mean that it
may happen that required portfolio
size may be much bigger/smaller in the future trading than
historical backtesting shows.
I think it is not too practical to trade hundreds of stocks.
Try to focus on industry leaders and
you will get much better results with much smaller
portfolio.
Best regards,
Tomasz Janeczko
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
David
Holzgrefe
To: <A title=amibroker@xxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, June 22, 2001 1:34
AM
Subject: [amibroker] system
reports
Hi TJ and others,
Im still trying to find a way to see what my
total equity drawing would be required to trade a system
How many position are open at one time
?
To get a greater understanding of what im after
in order to trade a system successfully you need to take every trade signaled
by the system .
Max. trade drawdown:-2781.71 System drawdown:-3480.37
These figures take from the report don't tell asthe
system is passed on 10k trades
I assume they represent the drawdowns (losses) on a trade /s
The attached file shows it to be a viable system
(with current backtesting still progressing)
Does someone have an idea how I could export the
results to a spread sheet for further analysisng ?
Now before someone tells me to hit the export
button :) What I realy need is how to format excel to create a
report that tells me the maxium number of open
trades ..
Hmm maybe it could be done with the explored
function ?
I dont know if anyone here trades systems but it
would seem the its critical to know within reason how much equity the system
requires before trading it ?
Thanks David
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