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That's hardly what I'd call a calculation of MaxDD ...
1. MaxDD% need not have anything to do with MaxDD Points
2. MaxDD% has nothing to do with initial equity
3. MaxDD% does have to do with prices that occur during the course
of the trade not just at the end.
--- In amibroker@xxxxxxxxxxxxxxx, "Steve Dugas" <sjdugas@xxxx> wrote:
> 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
> ----- Original Message -----
> From: Stephen Almond (F)
> To: 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 period
> EndDate = 0; // end date for earlier test period
> GoLong = 1; // 1 = take long positions, 0 = no long
positions
> GoShort = 1; // 1 = take short positions, 0 = no short
positions
> SignalPrice = Close; // array used for trade signals and
plotting indicator
> TradeDelay = 1; // bars after trade signal to execute trade
> TradePrice = Open; // array used for trade executions
> InitEquity = 100000; // initial equity
> ReInvest = 1; // 1 = initial equity, 2 = compounded
equity
> CommAmount = 0.5; // commission amount
> CommType = 2; // 1 = $/trade, 2 = %/trade, 3 = c/share
> EnterBarOne = 1; // 1 = always open trade on 1st test bar,
0 = don't
> OptimizeBy = 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
> ----- Original Message -----
> From: Steve Dugas
> To: 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 your
> questions below:
>
> ----- Original Message -----
> From: "Stephen Almond (T)" <s.almond@xxxx>
> To: "Ami" <amibroker@xxxxxxxxxxxxxxx>
> Sent: Friday, April 04, 2003 5:15 AM
> Subject: [amibroker] Steve Dugas
>
>
> > Steve, congratulations on you excellent .DLL. I would like to
make a
> couple
> > 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 on
> the actual trades. TRIX uses a reversal system, so the
indicator will change
> color on the day that it reverses - you can confirm this by
hovering the
> cursor over the day that it changes color, and also the 2 days
before, and
> reading the values in the tool tips. I deliberately programmed
the charts to
> show 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) changes
> color. I added the dots because in line mode, AB uses the new
color to
> connect the signal bar to the previous bar, possibly giving
the impression
> that the signal occurred the day before it actually did. In
real time it
> doesnt matter because the color change for the latest bar will
will show up
> on 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, by
> setting the TradePrice and TradeDelay variables at the top of
the code. They
> are 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 the
> signal, 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
are
> reinvesting initial equity and the other if you are reinvesting
compounded
> equity. If you want to reinvest compounded equity (and also
calculate annual
> return 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 an
> example
> > 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 when
> you do an exploration. That is how it determines the optimal
parameters - it
> tests all combinations you select and returns the most
profitable one. I
> dont think that the results will ever be identical to AB's
backtester
> because there are a number of variables to consider and I dont
know exactly
> how Tomasz handles them all in his code. For example, AB
calculates interest
> when you are out of the market - I didnt bother to add interest
in the DLL
> because it seems like a relatively minor amount these days, but
maybe I will
> add it in the future. Another example is if you choose to
reinvest initial
> equity, the DLL will actually reinvest the lesser of initial
equity or
> actual equity (in case you lose money on the first trade for
example, this
> is more realistic) I think this would correspond to using
AB "positionsize"
> with "allow shrinking" turned on . Another example is that the
DLL allows
> you 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 and
> then enter the trade on the 1st bar of the test period. I added
this because
> I usually concentrate on what the stock has been doing very
recently and if
> some 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 get
> as close to AB results as possible, you can set all parameters
to be as
> close to AB settings as possible. In my limited testing of
this, I have seen
> that it is possible to come pretty close.
>
> > Thanks for the great programme
>
> You are welcome : - )
>
> >
> >
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>
>
>
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