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Ken,
Thank you for posting.
Question:
How is the bottom chart calculated ? What is it showing you, Drawdown ?
Anthony
Ken Close wrote:
> Anthony:
>
> 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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