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Fred,
You are correct.
And while I did not articulate it very well, dd info in AB should not
be taken for granted.
The most accurate trading systems developed in AB are those which
include STOPS so tight that the intra-trade variations in price are
accounted for in the exit stradegy.
Regards,
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, Fred Tonetti <ftonetti@xxxx> wrote:
> 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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