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this is an Excellent point
and that is why I still have not seen systems
with low dd and high % of accuracy
and small amount of consecutive losses
(if one do exit, one would trade it and become Bill
gates really fast
Ben
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Fred
Tonetti
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, April 10, 2003 11:41
PM
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’s 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 …
Example …
For simplicity I used Pring’s 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.
<FONT
face="Times New Roman">1. <SPAN
lang=en-us> 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.
<FONT
face="Times New Roman">2. <SPAN
lang=en-us> 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.
<FONT face=Arial color=#000000
size=2><<...>> <SPAN
lang=en-us><FONT face=Arial color=#000000
size=2><<...>> <SPAN
lang=en-us><FONT face=Arial color=#000000
size=2><<...>> <SPAN
lang=en-us>Send
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