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Re: [amibroker] Backtesting reports



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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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