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Thanks fred,
I always wondered how drawdown was worked out.
This could probaly be calculated in the ami exploration before
exporting.
Peter.
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> DD's can unfortunately NOT be computed without knowing where prices
> went while the trade was open.
>
> Example: You buy a stock at 50 and you sell it at 100, looks like
> there's no drawdown just a nice 100% gain right ? ... but in
between
> where you bought it at 50 and sold it at 100 it went to 200 ...
> drawdown = 200 (Max Equity) - 100 (Final Equity) / 200 (Max Equity)
=
> 50% !!!
>
> --- In amibroker@xxxxxxxxxxxxxxx, "amiabilityy" <amiabilityy@xxxx>
> wrote:
> > Hi fred,
> >
> > It still needs some work,
> >
> > At the moment it it only contains
> >
> > START DATE END DATE FINAL EQUITY PER OF WINTRADES
> > MAXLOSSTRADE MAXWINTRADE
> >
> >
> > The data is only the data from an exploration, so it does not
> > contain the data of e.g.
> > if there a are 200 different tickers in the sheet it would not
> have
> > the whole history of all these 200 tickers,
> > It only contains the data of the buy day and sell day,( the
data
> > needed to calculate the profits, the rank data, buy and sell
dates).
> > The buy and sell data of a completed trade of a ticker, from the
> ami
> > exploration is in 1 row.
> >
> > wouldnt the draw down be able to be worked out from the profit
and
> > loss results, as it is testing multiple tickers which is
basically
> > like testing 1 ticker.
> >
> >
> >
> > 2) The overlapping dates is handled correctly,
> >
> > the buy date is sorted first in descending order, and the rank
> > value
> > is the second sort order, so if 20 different tickers buydates
> fall
> > on the same day ,then the ticker on the day with the highest
> ranking
> > will be the first selection.
> > The rank is in ascending order.
> >
> >
> > the highest rank is kept in sheet 1,
> > the next ticker to be kept on sheet 1 will need a buydate that
is
> > greater than the previous sell date.
> >
> >
> > So The the rank value will be used as the first choice if there
> are
> > more than 1 ticker with the same buydate.
> > Then by comparing the buy date to the previous rows sell date,
> > If the buy date is less than or equal to the previous tickers
> sell
> > date , it will be placed on a new sheet.
> >
> > The first sheet now contains no overlapping dates.
> >
> > This is repeated for the other sheets.
> >
> >
> > I would need to add code to control the amount traded.
> > At the moment it compounds, but will stop trading, when the
equity
> > of the last trade was around $1000.00
> > I was also thinking of using a percentage of the volume*close
of
> > the previous day as a maximum value to trade if the equity was >
> than
> > that value.
> >
> >
> >
> > Peter.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > > A few statements and / or questions with regards to DYNAPORT.
> > >
> > > 1. Does it have available to it all price history of what ever
> the
> > > trades were without which DrawDowns can NOT be calculated.
> > >
> > > 2. Does it properly handle overlapping trades ?
> > >
> > > 3. How does i keep one from being > 100% invested ?
> > >
> > > etc. etc. ...
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "amiabilityy"
> <amiabilityy@xxxx>
> > > wrote:
> > > > Ken
> > > > if you have excel , try the DYNAPORT.ZIP file i uploaded.
> > > >
> > > >
> > > > Peter.
> > > >
> > > >
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx>
> > wrote:
> > > > > Fred: does your message mean that a "system" that buys and
> > sells
> > > > say,
> > > > > the top ranked stock when a buy signal is issued (the Buy
> logic
> > > > being
> > > > > different than the score logic).....that such a system can
be
> > > > BACKTESTED
> > > > > using this ABTool? Is that what you are saying?
> > > > >
> > > > > Ken
> > > > >
> > > > > -----Original Message-----
> > > > > From: Fred [mailto:fctonetti@x...]
> > > > > Sent: Monday, May 05, 2003 9:17 PM
> > > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > > Subject: [amibroker] Re: ABtool v0.0.5 beta - What is this
t
> > hing?
> > > > >
> > > > > nand,
> > > > >
> > > > > From my limited knowledge and experience ABTool appears to
> > allow
> > > > > writing to a file almost anything anyone could want which
> could
> > > be
> > > > > used for example to "score" an entire WatchList bar by bar
as
> > to
> > > > the
> > > > > liklihood of some particular symbol being a better buy at
> some
> > > bar
> > > > > then another over the entire lenght of their history. This
> > file
> > > > > could then be sorted and "ranked" if you will and used as
the
> > > > driving
> > > > > force for trading or testing a portfolio trading system.
> > > > > Additionally there are new table functions in the latest
> > release
> > > > > which again from my limited knowledge would although they
> would
> > > be
> > > > > faster because they are in memory as opposed to writing to
> disk
> > > > they
> > > > > may also be limited in scope to dealing with the current
> stock
> > as
> > > > > opposed to the entire watchlist. I hope this limited
> > description
> > > > > helps somewhat.
> > > > >
> > > > > Best Regards, Fred
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "nkis22" <nkishor@xxxx>
> wrote:
> > > > > > Can someone please tell me what is this ABTool and
> > > > > > what does it do?
> > > > > >
> > > > > > thanks
> > > > > > nand
> > > > >
> > > > >
> > > > >
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