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I understand your need to do the evaluation and as I've stated
unfortunately there is insufficient information even from the AB
trade list to do this. If you hold a trade for a month and for that
trade you bought at 100 and sold at 90 what you see is a 10% loss but
if in between the entry and exit date the stock in question reached
120 before going to 90 you have a 25% drawdown. This information is
NOT available from the trade list.
--- In amibroker@xxxxxxxxxxxxxxx, "phsst" <phsst@xxxx> wrote:
> 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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