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Ben,
Are you stating that you have never seen the results of systems that
can do this ? or that you've never seen the code for systems that can
do this ? If it's the former then have another look at the equity
chart I posted for the main system I do trade.
Fred
--- In amibroker@xxxxxxxxxxxxxxx, profitok <profitok@xxxx> wrote:
> Trade Analysisthis 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
> ----- Original Message -----
> From: Fred Tonetti
> To: 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.
>
> 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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