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Hi,
Good news: AmiBroker 3.64 will report both largest point intraday drawdown
and largest percentage intraday drawdown - so AmiBroker
will satisfy both approaches.
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 2:44 PM
Subject: Re: [amibroker] Re: Backtesting reports
> 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/
> >
> >
>
>
>
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
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>
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