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d,
Was set to Low/High (Worst Case), but
even setting it to Close (or Open) the Max DD remains at 106%.
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
dingo
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, April 10, 2003 10:17
PM
Subject: RE: [amibroker] Drawdown
(Again)
<SPAN
>What do you have
your drawdowns based on? (in the backtester settings form on the Report tab in
the 2nd combo box).
<SPAN
>
<SPAN
>d
<SPAN
>
<SPAN
>-----Original
Message-----From: Stephen
Almond (T) [mailto:s.almond@xxxxxxxxx] <SPAN
>Sent: Thursday, April 10, 2003 4:23
PMTo: Ami<SPAN
>Subject: [amibroker] Drawdown
(Again)
<FONT face="Times New Roman"
size=3>
<FONT face=Arial color=black
size=2>I know
this is a delicate area, but it's important so I'll wade in. I have read the
help file (carefully).
<FONT face=Arial color=black
size=2><SPAN
>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 face=Arial color=black
size=2>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%.
<FONT face="Times New Roman"
size=3>
<FONT face=Arial color=black
size=2>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)?
<FONT face="Times New Roman"
size=3>
<FONT face=Arial color=black
size=2>Any
clarification will be most welcome!
<FONT face="Times New Roman"
size=3>
<FONT face=Arial color=black
size=2><SPAN
>Steve
<FONT face="Times New Roman"
size=3><SPAN
><FONT
face="Courier New" size=2>Send BUG REPORTS to
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