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Phsst,
Equity is built like any other array. Left to right. In the case of
one tradable you have the entire array available for plotting and
statistical anlysis after your AA has run. This is why the
originally included EquityLine indicator works and this is why my
replacement works.
AddToComposite can be used to create ~CompEquity as can be seen in my
discussion with Chuck and then it can be plotted and analyzed using
the minor change I made to the EquityLine indicator and attached to
that post for the purposes of looking at the equity line of
composites. (See previous posts that I made regarding this)
The problem is that AB does NOT limit it's trades to those that can
be done with the equity you actually have regardless of what options
you turn on so for example if you tell AB that you have $100K initial
equity and you are making $20K trades, if it finds via your AA that
10 things fit the criteria it will buy all 10 today even though this
can not be done with the Equity you have.
Hopefully Thomasz will fix this soon.
Fred
--- In amibroker@xxxxxxxxxxxxxxx, "phsst" <phsst@xxxx> wrote:
> Fred,
>
> We have bantered about what constitutes a 'drawdown'.
>
> But my main question was...
>
> Is your Equity Curve calculation for portfolio trades based upon
> chronologically ordered trades that we would experience in real
life,
> or is the calculation based upon the artifical sequence of trade
lists
> that our backtest execute against?
>
> 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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