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Chuck,
After playing with this a little I've modified the MaxDD to the
below ... This appears to produce the correct results.
This assumes that you've stored the results as you calculated them in
~CompEquity i.e. Equity() - 500000;
CmpEq = Foreign("~CompEquity", "X") + 500000;
MaxEq = Highest(CmpEq);
CurDD = 100 * (MaxEq - CmpEq) / MaxEq;
MaxDD = Highest(CurDD);
Plot(MaxDD, "MaxDD", colorWhite, styleThick | styleLine);
--- 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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