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>From Fred:
>Keep in mind when exporting available numbers even for each trade from AB
>that this does NOT allow for showing true drawdowns.
and
>In short, the point I'm trying to make here is that when developing,
>testing and optimizing systems IMHO the way to do so is using full
>compounding as to do otherwise shows erroneous results that can
>easilly lead one to think a system is better then it really is in
>terms of the negatives and worse then it really is in terms of the
>positives.
Question for Fred and for TJ:
In my post "RWT - Positionsize" I explained the need to analyze
backtest generated trade data in chronological order, matching actual
trading environments.
Regarding how the Equity Indicators are calculated, is Equity
calculated in:
1) Alphabetical or Watch List Sequence
or
2) Chronologically for all trades
And regarding the compounding issue... does compounding occur on the
entire portfolio chronologically (the sequence in which you would have
actually made the trades) or is compounded in an issue after issue
after issue fashion. If it is not chronological trades using the
entire portfolio, then it is useless and misleading information.
If I am right, then fixed positionsize is the only *potential* way to
analyze backtest output further. (And if I'm wrong then PLEASE let
someone explain why chronological analysis isn't necessary).
Phsst
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