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The trailing stop afl I posted last week is very close to what I use
in real trading. Tried Applystop and just never had any luck. I've
done substancial comparisons between AB results and my own developed
backtesting/trading system and if it isn't perfect, it is pretty
darned close. Of course no single stop loss system works for all
stradegies.
P
--- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> Have you been able to simulate your stop method in Amibroker? If so are
> you using the Applystop or doing it in script or?
>
> d
>
> -----Original Message-----
> From: phsst [mailto:phsst@x...]
> Sent: Sunday, April 13, 2003 8:42 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: RWT - Equity Curve calculations - Chronological
> Order???
>
>
> 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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