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Does
the attached document reflect what you are trying to do? It shows
the actual equity curve for a large basket (13,500) of stocks, $10,000 per
trade. There are about 12,000 trades, each being charged 1%
commission/slippage. The chart is monthly, but one click makes it weekly
or daily. It made with the AddToComposite function. I
haven't worked out an automatic way of calculating "proper" drawdown, but I can
get what I want by simply looking at the graph. I'm interested in
peak-to-trough drawdown and how long it takes to reach a "new high" in the
portfolio again.
<FONT face=Arial color=#0000ff
size=2>
Before
someone tells me that there aren't 13,500 stocks currently being traded, let me
say that I include extinct stocks that are no longer
trading.
<FONT face=Arial color=#0000ff
size=2>
The
total net profit is a bit hard to read, but it's something like $98
million.
<FONT face=Arial color=#0000ff
size=2>
The
actual syntax I use is AddToComposite(Equity()-500000,
"~Composite","X",7);
<FONT face=Arial color=#0000ff
size=2>
I have
initial capital set to 500,000 so that it will always trade $10,000 even after
taking small losses. My AFL code sets the PositionSize =
10000.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Cheers
<FONT face=Arial color=#0000ff
size=2>
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Fred
[mailto:fctonetti@xxxxxxxxx]Sent: Friday, April 11, 2003 12:01
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Trade AnalysisDingo,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@xxxx]> 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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