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I could see someone arguing the point that high or low of the day
should not affect dd calc's, as this of course would be the MF way of
thinking about things, but to not take into account the movement of
price during the course of the trade is something else again.
--- In amibroker@xxxxxxxxxxxxxxx, "phsst" <phsst@xxxx> wrote:
> Fred,
>
> Perhaps it is the accepted practice to measure drawdowns from the
high
> of a trade and if that is so then so be it.
>
> FWIW... I measure drawdown in terms of my available equity. (I don't
> count 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
afford
> this latitude in measuring drawdowns because I use rigid trailing
stops.
>
> I can see where someone who had an account value at the beginning of
> 2000 of a million and who having never sold has an account value of
> 100,000 might consider it a drawdown. Fortunately, I cultivated the
> practice 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).
> > >
> > > Phsst
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