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The attached gif shows my standard equity screen evaluator. I created this
screen after trading the system real time as shown by the notes in the
chart. I did not use this system to exit or stop trading the system, but I
will use it to restart trading the system.
The UPI (Ulcer Performance Index) code that is a part of many/most systems I
write and which I turn on and off with comment code is as follows:
Hope this helps. I would be interested in any reactions you or others have.
Ken
Code follows:
//Filter = 1;
Eq=Equity();
Per = 252;
Per2 = 40;
Cdd = (HHV(Eq,Per2) - Eq)/HHV(Eq,Per2);
MaxCdd = HHV(Cdd,252)*100;
R2 = (Sum(Cdd*Cdd,Per))/Per;
UI = 100*sqrt(R2);
Gain = Eq/Ref(Eq,-Per);
ANN = 100 * ((Gain^(252/Per)) - 1);
UPI = (ANN - 0.054)/UI;
AddColumn(MaxCdd,"MaxCdd",1.2);
AddColumn(ANN,"ANN",1.2);
AddColumn(UPI,"UPI",1.3);
AddColumn(ANN/MaxCdd,"ANN/dd",1.3);
PS: an alternative measure of an equity curve is in the last column code ===
ANN/MaxCdd, not quite as elegant but it performs a similar function as UPI.
PSS: in looking at this infor before sending, I guess some folks could have
a problem with the term "max current drawdown". It is either max drawdown or
current drawdown, right? I took the current drawdown on each day and found
the max value of that array over a 65 day lookback period. Nothing magic
about the length of the lookback period. One quarter sounded right to me.
-----Original Message-----
From: Anthony Faragasso [mailto:ajf1111@x...]
Sent: Friday, July 26, 2002 4:38 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re:Money management
Ken,
Thanks for the input on this Important subject, can you supply some
visual confirmations of the methods you speak. Namely the "RSI of the
equity curve", and how you interpret the chart.
Also, I know you have posted the UPI formula before , could you please
post again for those who can not locate it, and a brief description of
your evaluation / scan of tickers using this index.
Thank you
Anthony
Ken Close wrote:
> DT/Anthony:
>
> A method I use is to apply the UPI (Ulcer Performance Index) to the
> equity
> curve. This then gives you a measure of the "quality" of the equity
> that is
> generated. Do you like a very smooth curve (little drawdown) but that
>
> slopes upward very gently, or do you want a more upsloping equity
> curve but
> one that has (perhaps) more dips/drawdowns? What is the balance? UPI
> number
> comparisons will give you one way of deciding.
>
> This approach is more suited as another evaluation technique of
> different
> backtest system results.
>
> You seem to be using the equity cross of its moving average as a way
> to stop
> or start trading the system. I agree with this. It was the primary
> reason I
> stopped trading a CMO variation as I think I mentioned in another
> message of
> several days ago. I also plot in the same window, the RSI of the
> equity
> curve and look for declines as another warning sign.
>
> Ken
>
> -----Original Message-----
> From: dtsokakis [mailto:TSOKAKIS@x...]
> Sent: Friday, July 26, 2002 9:23 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re:Money management
>
>
> Anthony,
> I thought to begin this thread with a method I use for years, even
> with MSEXCEL the ...happy 99 times [I sold the whole thing when the
> portfolio equity crossed its 15-day MA, after a long extra-bullish
> period, no doubt about it]
> Do you critisize the cross EMA40 method or the Equity itself ?
> In the second case, we will loose the method [I hope to see other
> methods too].
> I would like your opinion for this EMA40 idea.
> Of course, any other criticism is always appreciated.
> The Smoothed Stochastic CCI Equity curve is another [perhaps
> interesting] subject.
> I will post later the full formula to see better.
> DT
> --- In amibroker@xxxx, Anthony Faragasso <ajf1111@xxxx> wrote:
> > Dimitri,
> >
> > Thank you for continuing this Thread, It is an important part of any
>
> > traders success or failure.
> >
> > Strategy and Money management are the two most important parts of
> any
> > trader's overall plan.
> >
> > The best entry rule is useless without proper risk control. You can
>
> > almost perfectly analyze a developing market situation, find the
> best
> > strategy to exploit that situation, and be almost perfectly correct
> in
> > your forcast of what that market will do, and yet still lose money
> if
> > you do not use proper risk control and money management.
> >
> > There are so many variables which constitute Money management , that
>
> > just pinning it to an Equity curve crossover would be dangerous for
> most
> > traders. In the 3 gifs that you have posted , the Drawdowns in the
> > equity curves appear to be excessive even though the equity curves
> are
> > above the 40 period EMA , how do you protect yourself from these
> > drawdowns ? Are you in that much cash to absorb these drawdowns ?
> >
> >
> > Anthony
> >
> >
> >
> > Dimitris Tsokakis wrote:
> >
> > > Another [interesting] example.Athens SE General Index had a nice
> > > fitting to the Stochastic CCI system from A [Aug 2000] toB [April
> > > 2001]. Take the Profits [nearly +60%] and stay in cash.The 40-day
> EMA
> > > cross at B is more than clear.The system is no good anymore for a
> > > quite long period.Slightest attempts for the Equity red curve to
> > > exceed its EMA were very dangerous until mid December 2001.A new
> > > fitting period seem to begin and give some interesting profits
> [+10%]
> > > till Feb 2002 and out of thesystem again and again.The actual
> Equity
> > > curve should point 17000, the equity without this type of
> management
> > > is at 7276.The all-season "blind backtesting" has no relation with
>
> > > real trading conditions.Any excellent system may change.You
> should be
> > > there to stop it, instead of insisting with some fanatism and
> loose
> > > the profits and a part of theinitial equity in the name of the
> holly
> > > system.Dimitris Tsokakis
> > >
> > >
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> >
> > >
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