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Hi Steve,
These are max drawdown/points and max drawdown/percent
respectively, from your initial equity. The DLL calculates a bunch of statistics
at the close of each trade, one of which is Lowest Equity. This
variable is initialized to Initial Equity, and at the close of each trade, it
checks to see if your current equity is less than the current Lowest
Equity. If so, it is replaced with the new low. After all testing is done, it
calculates:
MaxDrawdownPoints = LowestEquity -
InitEquity MaxDrawdownPercent = 100 * MaxDrawdownPoints /
InitEquity
(Since it is calculated only when closing a trade, it is
possible that your max drawdown "on paper" during an open position could
have been greater.)
Since you are looking at the results from
the optimal parameters, it is probably not too surprising that many
stocks show zero drawdown. Many of the results have 100% winning trades. Others
have losing trades, but they come later so you are losing profits rather than
initial equity. On a few, you actually lose part of your initial equity at some
point, which is what you are seeing.
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=steve@xxxxxxxxxxxxxxxxxxxxxx
href="">Stephen Almond (F)
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, April 07, 2003 9:34
AM
Subject: Re: [amibroker] Steve
Dugas
Steve,
When I run one of your indicators
against a group of stocks using Explore, most of them show 'Max $ DD' and 'Max
% DD' as zero. A few show non-zero values. Any idea why this is? Here is my
include file, in case this gives a clue:
TestBars
=126; // bars in testperiod (most recent
bars)StartDate = 991231; // start date for earlier test
periodEndDate =
0; // end date for earlier test
periodGoLong =
1; // 1 = take long positions, 0 = no long
positionsGoShort =
1; // 1 = take short positions, 0 = no
short positionsSignalPrice = Close; // array used for trade
signals and plotting indicatorTradeDelay =
1; // bars after trade signal to execute
tradeTradePrice = Open; // array used for trade
executionsInitEquity = 100000; // initial
equityReInvest = 1;
// 1 = initial equity, 2 = compounded equityCommAmount =
0.5; // commission
amountCommType = 2;
// 1 = $/trade, 2 = %/trade, 3 = c/shareEnterBarOne =
1; // 1 = always open trade on 1st test
bar, 0 = don'tOptimizeBy = 1; //
1 = annual % return, 2 = peak equity at close/all
trades
// 3 = % winning trades, 4 = avg %
return/trade
// 5 = % return/worst trade, 6 = drawdown/starting equity
Also AB settings use n and
n=1
Thanks,
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Steve Dugas
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, April 05, 2003 4:13
AM
Subject: Re: [amibroker] Steve
Dugas
Hi Stephen - Thank you for the kind words. Please see my
replies to yourquestions below:----- Original Message
-----From: "Stephen Almond (T)" <<A
href="">s.almond@xxxxxxxxx>To: "Ami"
<<A
href="">amibroker@xxxxxxxxxxxxxxx>Sent:
Friday, April 04, 2003 5:15 AMSubject: [amibroker] Steve
Dugas> Steve, congratulations on you excellent .DLL. I would
like to make acouple> of comments:>> 1. On the
attached chart of your TRIX indicator, the buy/sell signals seem> too
good to be true. Seems the programme picks the peak before the>
subsequent down day which defines that peak (same for troughs, of
course).> Can you introduce a couple of days delay to make the trades
more 'real'?>The chart shows the trade signals while the
reported results are based onthe actual trades. TRIX uses a reversal
system, so the indicator will changecolor on the day that it reverses -
you can confirm this by hovering thecursor over the day that it changes
color, and also the 2 days before, andreading the values in the tool
tips. I deliberately programmed the charts toshow the signals so that it
would alert me to signals on the current bar.Actually, the signal is
given on the day that the DOT (not the line) changescolor. I added the
dots because in line mode, AB uses the new color toconnect the signal
bar to the previous bar, possibly giving the impressionthat the
signal occurred the day before it actually did. In real time itdoesnt
matter because the color change for the latest bar will will show upon
the dot and the line at the same time, but when looking at past
signals,it is the first DOT of a new color that signals the
reversal.You can select when the actual trades take place, similar
to AA settings, bysetting the TradePrice and TradeDelay variables at the
top of the code. Theyare preset to execute the trade on the open of the
day following the signal,but for example, if your style is to trade at
the close on the day of thesignal, just change TradePrice to
"Close" and TradeDelay to "0".> 2. I notice that if I use 63 days
(~1/4 year) for my Testbars and get a> return of 12%, then the Annual
return is shown as 48%. Is the lack of> compounding correct, or are
you simply erring on the conservative side?The program uses 2
methods to figure annual return, one if you arereinvesting initial
equity and the other if you are reinvesting compoundedequity. If you
want to reinvest compounded equity (and also calculate annualreturn
based on this method), just set ReInvest variable to
"2".>> 3. I note in you help document that you say the
backtest isn't completely> consistent with the explorations. Do you
hope to remedy this? As anexample> if I use testbars =126, should
I be able to backtest over 126 bars and at> least get the same number
of trades as indicated by the exploration?>Well, actually,
the DLL has its own built-in backtester, which it runs whenyou do an
exploration. That is how it determines the optimal parameters - ittests
all combinations you select and returns the most profitable one. Idont
think that the results will ever be identical to AB's backtesterbecause
there are a number of variables to consider and I dont know exactlyhow
Tomasz handles them all in his code. For example, AB calculates
interestwhen you are out of the market - I didnt bother to add interest
in the DLLbecause it seems like a relatively minor amount these days,
but maybe I willadd it in the future. Another example is if you choose
to reinvest initialequity, the DLL will actually reinvest the lesser of
initial equity oractual equity (in case you lose money on the first
trade for example, thisis more realistic) I think this would correspond
to using AB "positionsize"with "allow shrinking" turned on .
Another example is that the DLL allowsyou to open a trade on the first
bar of the test period if you want to,rather than wait for the first
signal to occur. If you select this method,it will look backwards from
the 1st test bar to find the previous signal andthen enter the trade on
the 1st bar of the test period. I added this becauseI usually
concentrate on what the stock has been doing very recently and ifsome
stocks make me wait for half the test period before opening a trade,that
makes it hard to make a valid comparison over such a short time. To
getas close to AB results as possible, you can set all parameters to be
asclose to AB settings as possible. In my limited testing of this, I
have seenthat it is possible to come pretty close.> Thanks
for the great programmeYou are welcome : -
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