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Fred
I believe that you$B!G(Bre correct in thinking that the exploration is the way to
see what is happening. You can get a line for every day and by adding some
columns you can get the high and low for each day and then do your own computations
on max dd.
d
<span
>-----Original Message-----
From: Fred Tonetti
[mailto:ftonetti@xxxxxxxxxxxxx]
Sent: Thursday, April 10, 2003
11:41 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Trade
Analysis
<span
>
<span
>Phsst & Others interested in this subject,
<span
>One of the problems with taking information from even
a detailed report in AB and exporting it to a CSV and then in turn importing
into Excel is that although it will properly show the Entry Date & Price
and Exit Date & Price, it does not show prices of whatever it is that$B!G(Bs
being traded during the bars in between the entry and exit, therefore there is
no way using a methodology like that to come up with semi-accurate numbers for
drawdowns $B!D(B
<span
>Example $B!D(B
<span
>For simplicity I used Pring$B!G(Bs KST system trading AA
i.e. only one stock ...
<span
>As one can see from the report below there was a 7.1%
CAR and 36.71% drawdown on a close to close basis.
<span
>In looking at the Equity Line in the graph
(attached) one can see here too that there were the same results.
<span
>
<span
>But if one does a copy of the actual detail trade
information and paste into Excel (See Attached) and adds columns for max equity
and drawdown% and then at the bottom of the column takes the maximum of
drawdown%, the result shows an incorrectly low 27.67%. The reason of
course is that the detailed report from AB and thus Excel does not show what
happened during the course of time that individual trades were being held.
<span
>In looking at what is in the AB reports when multiple
stocks are traded some of which could be simultaneously or overlapping
investments there are several problems.
<span
>1. AB apparently assumes
that one must have enough capital to buy say $10k of every stock in the run and
so it forces initial equity to be higher then it needs to be.
<span
>2. AB reports as MaxDD
what is the MaxDD for one stock trade and although in some way this may be
useful information it overstates what MaxDD is for the account. Beyond
this though and given what information is available in the detailed report
trading only one stock, it would not be possible to export all the trades for
multiple stocks and get a semi clear picture of what Returns or MaxDD for the
system is. This would have to be done using a different methodology, probably
utilizing an exploration.
<span
><<...>>
<<...>> <<...>>
<span
>
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>
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