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Dingo,
Right. This is one of those things I just haven't gotten around to
doing with the Equity Line indicator I wrote as I don't typically
trade this way but I would think someone out there would have done
something like this so that they could get a good picture of the
Equity Curve and the associated DD's with the systems they are using
to trade multiple stocks or portfolios. Yuki ?
Fred
--- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> Fred I believe that you¡Çre 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
>
> -----Original Message-----
> From: Fred Tonetti [mailto:ftonetti@x...]
> Sent: Thursday, April 10, 2003 11:41 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Trade Analysis
>
>
>
> Phsst & Others interested in this subject,
>
> 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¡Çs 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 ¡Ä
>
> Example ¡Ä
>
> For simplicity I used Pring¡Çs KST system trading AA i.e. only one
stock
> ...
>
> As one can see from the report below there was a 7.1% CAR and 36.71%
> drawdown on a close to close basis.
>
> In looking at the Equity Line in the graph (attached) one can see
here
> too that there were the same results.
>
>
>
> 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.
>
> 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.
>
> 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.
>
> 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.
>
> <<...>> <<...>> <<...>>
>
>
>
>
>
>
>
>
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