PureBytes Links
Trading Reference Links
|
Have
you been able to simulate your stop method in Amibroker? If so are you using the
Applystop or doing it in script or?
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>d
<FONT
face=Tahoma size=2>-----Original Message-----From: phsst
[mailto:phsst@xxxxxxxxx] Sent: Sunday, April 13, 2003 8:42
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
RWT - Equity Curve calculations - Chronological
Order???Fred,Perhaps it is the accepted
practice to measure drawdowns from the highof a trade and if that is so
then so be it.FWIW... I measure drawdown in terms of my available
equity. (I don'tcount the high price of a current stock trade as
'available equity'.It is only equity in my mind when I close out the
trade. I can affordthis latitude in measuring drawdowns because I use
rigid trailing stops.I can see where someone who had an account value
at the beginning of2000 of a million and who having never sold has an
account value of100,000 might consider it a drawdown. Fortunately, I
cultivated thepractice of cutting losses years ago.Not argueing...
just telling you what is important to me.Phsst--- In
amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:> 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).> >
> > PhsstSend
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|