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Hi,
----- > > - Maximum drawback calculated from maximum equity value
> > to the minimum equity value
> > (BTW: How to name this one? I have no idea)
> > (note this is different from current max. drawback calculation
> which
> > computes max. equity dip from the trade entry)
>
>
> Maximum drawdown or Sweeney of TASC mag calls something very similar
> maximum adverse excursion.
Yes, it was a typo, I meant "maximum drawdown".
The problem is that I already have "maximum drawdown" for maximum
equity dip since entry. So maybe I will use "maximum adverse excursion"
for max. equity dip from the peak.
Also I have one conceptual problem.
Let suppose that the price is moving
1. from $100 to $140,
2. then falls to $110,
3. then rises to a new high at $150,
4. then falls to $130
and the trade is closed.
I think that the correct way to calculate maximum adverse excursion
is to detect the largest move down in above sequence
(i.e. 140-110 = 30),
but someone else may argue that one should calculate
from the highest peak ($150) - in my opinion this is not correct
because we move forward in time and the largest move down is (2)
What do you think?
Best regards,
Tomasz Janeczko
===============
AmiBroker - the comprehensive share manager.
http://www.amibroker.com
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