|
PureBytes Links
Trading Reference Links
|
Hello,
A maximum system drawdown reported in the optimization report
is a peak-to-trough equity variation during for a system
(ALL TRADES equity curve). If you have several consecutive
losing trades your equity may experience bigger drawdown
that is shown by single-trade figure.
A peak-to-trough equity during single
trade is more optimistic and is included in standard
AmiBroker back-testing report.
If you want to have it included in the optimization report
- no problem - I will add it.
Best regards,
Tomasz Janeczko
amibroker.com
--- In amibroker@xxxx, traders10@xxxx wrote:
> Tomasz, there is something wrong with this AA result field. It is
> giving data that is at odds with results I have been seeing for
years.
>
> Most of the readings are in the -70% to -100% range. 100% draw
downs
> are not common in typical systems. I would expect to see numbers
in
> the -30% to -70% range for systems that do not attempt to minimize
> Mdd. Numbers in the -20% to -40% range are more normal for systems
> that try to minimize Mdd.
>
> Are you using peak to trough equity during the course of a single
> trade? Mdd is traditionaly done on a trade by trade basis not on
an
> aggregate basis. Also it depends on whether you are talking about
> changes in profit or changes in total trade equity. I believe
total
> trade equity is what should be used.
>
> The measures that I expect to see are Mdd, peak to trough equity
> variation during a single trade; then exit equity - entry equity
> (profit); and entry equity - trough equity (nearly useless imo).
> These are normally presented on a best/worst trade basis.
>
> With good Mdd data I can take the worst draw down trade and examine
> it to see what went wrong and then modify the trading system to
> improve that result with out destroying overall results. The data
we
> have now would be much improved with the addition of per trade data.
> Cheers
> Trader
|