|
PureBytes Links
Trading Reference Links
|
Phsst,
I disagree. It is not practical in the real world to use extremely
tight stops. When you place stop loss orders the specialists by
definition must know where they are and it's very easy for them to
take the price of the stock down to where you order is, stop you out
and then continue on. This is how they make their living.
--- In amibroker@xxxxxxxxxxxxxxx, "phsst" <phsst@xxxx> wrote:
> 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.
------------------------ Yahoo! Groups Sponsor ---------------------~-->
FREE Cell Phones with up to $400 Cash Back!
http://us.click.yahoo.com/_bBUKB/vYxFAA/i5gGAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|