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Hello Fred
at this rate you will get to bil gates fortune
soon,,
just kidding
back to reality
equity curve DOES look excellent
in the year 2002
a how many trades
b aver time you stay in the trade
c aver winning trade
d aver losing trade
e % profitable?
f max consecutive loses?
g largest losing trade?
nice week end
Ben
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Fred
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, April 11, 2003 12:09
AM
Subject: [amibroker] Re: Trade
Analysis
Ben,Are you stating that you have never seen the
results of systems that can do this ? or that you've never seen the code
for systems that can do this ? If it's the former then have another
look at the equity chart I posted for the main system I do trade.
Fred--- In <A
href="">amibroker@xxxxxxxxxxxxxxx,
profitok <profitok@x...> wrote:>
Trade Analysisthis is an Excellent point> and that is why I still
have not seen systems with low dd and
high % of accuracy and small amount of consecutive
losses> (if one do exit, one would trade it and become Bill gates
really fast> Ben> ----- Original Message -----
> From: Fred Tonetti > To:
amibroker@xxxxxxxxxxxxxxx > Sent: Thursday, April 10, 2003
11:41 PM> 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'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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