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Hi Tomasz - Others have mentioned Wealth-Labs definition of Maximum
Intraday Drawdonw -"This value represents the greatest peak to trough
distance in your equity curve. Beware of Systems that have a high
Draw down value." You may also be interested in the Wealth-Lab
definition of Maximum Adverse Excursion: "MFE is the highest % profit
level a trade has achieved throughout its lifetime. Conversely, MAE
is the greatest % loss level a trade has ever achieved." <<< skip
>>> "Use the MAE graph to help determine levels at which to place
stop losses. The data in this graph will help you see how many of
the winning trades would have hit your stop loss and been converted
to losers."
You might also want to take a look a my article on possible
performance measures in Wealth-Lab here for some ideas:
http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?
page=Articles/SystemTesting.htm
Regards, Jim Byrd
--- In amibroker@xxxx, "Tomasz Janeczko" <tj@xxxx> wrote:
> 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.
> http://www.amibroker.com
>
>
> ----- Original Message -----
> From: wavemechanic
> To: amibroker@xxxx
> Sent: Saturday, July 21, 2001 9:18 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:
>
> http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?
page=$imOverview.htm
>
> Bill
>
> ----- Original Message -----
> From: Tomasz Janeczko
> To: amibroker@xxxx
> 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 market
>
> I have got already some of your earlier suggestions
> but anyone has something more?
>
> Best regards,
> Tomasz Janeczko
> ===============
> AmiBroker - the comprehensive share manager.
> http://www.amibroker.com
>
>
>
>
>
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