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What do you have your drawdowns based on?
(in the backtester settings form on the Report tab in the 2nd combo
box).
d
<span
>-----Original Message-----
From: Stephen Almond (T)
[mailto:s.almond@xxxxxxxxx]
Sent: Thursday, April 10, 2003
4:23 PM
To: Ami
Subject: [amibroker] Drawdown
(Again)
<span
>
<font size=2 color=black
face=Arial>I know
this is a delicate area, but it's important so I'll wade in. I have read the
help file (carefully).
<font size=2 color=black
face=Arial>Attached
is a file (noname.jpg) showing Fred's equity plot for this single stock
backtest. It shows a Max DD of 31%, from a positionsize fixed at $10,000. The
equity never goes below $7200.
<font size=2 color=black
face=Arial>Also
shown is a section of the AB report. Here the 'max system DD' is
shown as $5121, but the 'max system % DD' is -128%.
<span
>
<font size=2 color=black
face=Arial>How can
we have a 'max system % DD' greater than 100% (and remember Max DDs are
measured peak to trough, not relative to initial equity)?
<span
>
<font size=2 color=black
face=Arial>Any
clarification will be most welcome!
<span
>
<font size=2 color=black
face=Arial>Steve
<span
>
<font size=2
face="Courier New">Send BUG REPORTS to
bugs@xxxxxxxxxxxxx<span
>
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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