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Using points as an expression of drawdown won't indicate what portion of
your pool of money you have lost. Knowing that I have lost 35 points
doesn't tell me anything about the efficiency of the system I am testing.
Telling me I have lost 35% does. Maximum drawdown from an equity peak in
percentage terms tells me how much I'm hurting in the trade. That is what
is important, not an obscure point drawdown that doesn't tell me anything
about how well the system performs.
so
----- Original Message -----
From: "Tomasz Janeczko" <tj@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, July 22, 2001 3:37 AM
Subject: Re: [amibroker] Re: Backtesting reports
> Hello,
>
> Well, I was thinking on this issue and this is not that simple as one
would
> think:
>
> Maximum point drawdown may be NOT the maximum percentage drawdown
> if we calculate the percentage based on peak value:
> Let suppose that the price is moving
> a. from $100 to $140,
> b. then falls to $110, (point drawdown = 30, percentage drawdown from
peak (110-140)/140 = -21.48%
> c. then rises to a new high at $200,
> d. then falls to $160 ( point drawdown = 40, percentage drawdown from
peak( 200-160)/200 = -20% )
> and the trade is closed.
>
> As you can see percentage drawdown from peak is higher in (b) while point
drawdown is higher in (d)
>
> Only if you calculate the percentage drawdown from a trade entry price
both
> figures match.
>
> Now we've got a problem - which one to use??????
>
> Best regards,
> Tomasz Janeczko
> ===============
> AmiBroker - the comprehensive share manager.
> http://www.amibroker.com
>
>
> ----- Original Message -----
> From: "Stanley Olga" <stanleyolga@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Sunday, July 22, 2001 1:31 AM
> Subject: Re: [amibroker] Re: Backtesting reports
>
>
> > The largest equity drawdown from a previous peak was $30. That's your
> > answer.
> >
> > Plus, PLEASE make it in percentage terms, not dollar terms. Dollar
terms
> > are meaningless. One wants to know the percentage of capital lost from
an
> > equity peak.
> >
> > By the way, Sweeney used the term Maximum Adverse Excursion in a
different
> > context. He covers this concept extensively in his book, Campaign
Trading.
> >
> > so
> >
> >
> >
> >
> >
> > ----- Original Message -----
> > From: "Tomasz Janeczko" <tj@xxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Saturday, July 21, 2001 3:36 PM
> > Subject: Re: [amibroker] Re: Backtesting reports
> >
> >
> > > 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
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > > Your use of Yahoo! Groups is subject to
http://docs.yahoo.com/info/terms/
> > >
> > >
> >
> >
> >
> >
> >
> > Your use of Yahoo! Groups is subject to
http://docs.yahoo.com/info/terms/
> >
> >
> >
>
>
>
>
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
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