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Tomasz:
How about entry to lowest trough = trade
drawdown
Did you notice the script functions listed on the
Wealth-Lab site? Is that where AB is headed?
Bill
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Tomasz Janeczko
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, July 21, 2001 4:20
PM
Subject: Re: [amibroker] Backtesting
reports
Hello,
Thank you for the information.
BTW, here is a definition of Max. Intraday
drawdown from wealthlab:
"Max IntraDay Drawdown
This value represents the greatest peak to trough distance in
your equity curve. Beware of Systems that have a high Drawdown
value."
This is exactly what I meant in my previous e-mail: "greatest
peak to trough distance".
Now: how should we call entry to lowest trough distance( a
drawdown measure already present in AmiBroker) ??
Best regards,Tomasz Janeczko===============AmiBroker - the
comprehensive share manager.<A
href="">http://www.amibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
wavemechanic
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, July 21, 20019:18
PM
Subject: Re: [amibroker] Backtesting
reports
Tomasz:
Since you will have maximum drawdown, I suggest
including Risk-Adjusted Return (RAR). This is a standard system
evaluation metric that divides a risk measurement by the annualized rate of
return. You could use maximum drawdown as the risk measurement, but
other measures (volatility, standard deviation, etc.) would also
work.
The following link lists the system evaluation
parameters used by Wealth-Lab:
<A
href="">http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?page=$imOverview.htm
Bill
----- Original Message -----
<BLOCKQUOTE
>
<DIV
>From:
Tomasz
Janeczko
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, July 21, 2001 12:00
PM
Subject: [amibroker] Backtesting
reports
Hello,I would like to ask you:What additional
back-testing statistics would you like to see in AmiBroker?Please
give me your suggestions with the description.For version 3.64
already included are:- Annual system percentage profit- Annual
B&H percentage profit- 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)- Bars out of marketI have got already some of your
earlier suggestionsbut anyone has something more?Best
regards,Tomasz Janeczko===============AmiBroker - the
comprehensive share manager.<A
href="">http://www.amibroker.com Your
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