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Thank you very much, Jim.
Best regards,
Tomasz Janeczko
===============
AmiBroker - the comprehensive share manager.
http://www.amibroker.com
----- Original Message -----
From: <ontherail@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, July 22, 2001 5:25 PM
Subject: [amibroker] Re: Backtesting reports
>
>
>
> 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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> >
> >
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