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That first statement will need work and you would want to store
equity without reducing it by the $500k.
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> Chuck,
>
> That looks like the ticket ...
>
> Once you have a composite equity you should be able to calc DD's
via
> something like this ...
>
> CurEq = CompositeEquity();
> MaxEq = Highest(CurEq);
> CurDD = 100 * (MaxEq - CurEq) / MaxEq;
> MaxDD = Highest(CurDD);
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
> <chuck_rademacher@x> wrote:
> > 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.
> >
> > 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.
> >
> > The total net profit is a bit hard to read, but it's something
like
> $98
> > million.
> >
> > The actual syntax I use is AddToComposite(Equity()-500000,
> > "~Composite","X",7);
> >
> > 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.
> >
> > Cheers
> >
> > -----Original Message-----
> > From: Fred [mailto:fctonetti@x...]
> > Sent: Friday, April 11, 2003 12:01 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: Trade Analysis
> >
> >
> > Dingo,
> >
> > 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@x...]
> > > 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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> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
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