|
PureBytes Links
Trading Reference Links
|
Please help me understand how Amibroker calculates
equity and
drawdowns!!-----------------------------------------------------------------------------------Here
are my settings:Settings: Delay = 1, Open for all
signals
No interest, no commissions, drawdown figures based on: worst
case-----------------------------------------------------------------------------------<FONT
face=Arial size=2>And here is the Afl Used to produce the csv data which is
below the formula:
{buy/sell etc. goes here}
E =
Equity();Filter=1;BIR =
IIf(Status("BarInRange") > 0, 1, 0);CurEq =
Equity();MaxEq =
Highest(CurEq);CurDD = IIf(BIR, 100 * (MaxEq - CurEq)
/ MaxEq, 0);MaxDD =
Highest(CurDD);AddColumn(Buy,"Buy",1.0);AddColumn(Sell,"Sell",1.0);AddColumn(Short,"Short",1.0);AddColumn(Cover,"Cover",1.0);AddColumn(O,
"Open",1.2);AddColumn(L, "Low",1.2);AddColumn(H,
"High",1.2);AddColumn(C,
"Close",1.2);AddColumn(MaxEq,"MaxEq",1.2);AddColumn(CurEq,"Equity()",1.2);AddColumn(-CurDD,"CDD%",1.2);AddColumn(-MaxDD,"MDD%",1.2);
<TABLE cellSpacing=0
cellPadding=0 width=670 border=0 x:str>
<COL
width=46>
<COL
width=97>
<COL
width=31>
<COL
width=32>
<COL
width=41>
<COL
width=44>
<COL
width=41>
<COL
span=2 width=39>
<COL
width=42>
<COL
span=2 width=64>
<COL
width=44>
<COL
width=46>
<TD class=xl27
width=46 height=17><FONT face=Arial
size=2>Ticker
<TD class=xl28
width=97>Date/Time
<TD class=xl29
width=31>Buy
<TD class=xl29
width=32>Sell
<TD class=xl29
width=41>Short
<TD class=xl29
width=44>Cover
<TD class=xl30
width=41>Open
<TD class=xl30
width=39>Low
<TD class=xl30
width=39>High
<TD class=xl30
width=42>Close
<TD class=xl30
width=64>MaxEq
<TD class=xl30
width=64>Equity()
<TD class=xl30
width=44>CDD%
<TD class=xl30
width=46>MDD%
<TD class=xl31
height=17>AD
<TD class=xl32
x:num="37377">05/01/2002
<TD class=xl33
x:num>0
<TD class=xl33
x:num>0
<TD class=xl33
x:num>1
<TD class=xl33
x:num>0
<TD class=xl34
x:num>43.40
<TD class=xl34
x:num>43.00
<TD class=xl34
x:num>44.61
<TD class=xl34
x:num>44.51
<TD class=xl34
x:num="10000">10,000.00
<TD class=xl34
x:num="10000">10,000.00
<TD class=xl34
x:num>0.00
<TD class=xl34
x:num>0.00
<TD class=xl31
height=17>AD
<TD class=xl32
x:num="37378">05/02/2002
<TD class=xl33
x:num>0
<TD class=xl33
x:num>0
<TD class=xl33
x:num>0
<TD class=xl33
x:num>0
<TD class=xl34
x:num>44.46
<TD class=xl34
x:num>44.19
<TD class=xl34
x:num>45.19
<TD class=xl34
x:num>44.48
<TD class=xl34
x:num="10000">10,000.00
<TD class=xl34
x:num="10000">10,000.00
<TD class=xl34
x:num>0.00
<TD class=xl34
x:num>0.00
<TD class=xl31
height=17>AD
<TD class=xl32
x:num="37379">05/03/2002
<TD class=xl33
x:num>0
<TD class=xl33
x:num>0
<TD class=xl33
x:num>0
<TD class=xl33
x:num>0
<TD class=xl34
x:num>44.73
<TD class=xl34
x:num>44.67
<TD class=xl34
x:num>45.19
<TD class=xl34
x:num>45.07
<TD class=xl34
x:num="10000">10,000.00
<TD class=xl34
x:num="9939.27">9,939.27
<TD class=xl34
x:num>-0.61
<TD class=xl34
x:num>-0.61
<TD class=xl31
height=17>AD
<TD class=xl32
x:num="37382">05/06/2002
<TD class=xl33
x:num>0
<TD class=xl33
x:num>0
<TD class=xl33
x:num>0
<TD class=xl33
x:num>0
<TD class=xl34
x:num>45.10
<TD class=xl34
x:num>44.71
<TD class=xl34
x:num>45.50
<TD class=xl34
x:num>44.71
<TD class=xl34
x:num="10000">10,000.00
<TD class=xl34
x:num="9856.05">9,856.05
<TD class=xl34
x:num>-1.44
<TD class=xl34
x:num>-1.44
<TD class=xl31
height=17>AD
<TD class=xl32
x:num="37383">05/07/2002
<TD class=xl33
x:num>0
<TD class=xl33
x:num>0
<TD class=xl33
x:num>0
<TD class=xl33
x:num>0
<TD class=xl34
x:num>44.70
<TD class=xl34
x:num>44.60
<TD class=xl34
x:num>45.36
<TD class=xl34
x:num>45.17
<TD class=xl34
x:num="10000">10,000.00
<TD class=xl34
x:num="9946.02">9,946.02
<TD class=xl34
x:num>-0.54
<TD class=xl34
x:num>-1.44
<TD class=xl31
height=17>AD
<TD class=xl32
x:num="37384">05/08/2002
<TD class=xl33
x:num>0
<TD class=xl33
x:num>0
<TD class=xl33
x:num>0
<TD class=xl33
x:num>0
<TD class=xl34
x:num>45.32
<TD class=xl34
x:num>45.00
<TD class=xl34
x:num>45.79
<TD class=xl34
x:num>45.79
<TD class=xl34
x:num="10000">10,000.00
<TD class=xl34
x:num="9806.57">9,806.57
<TD class=xl34
x:num>-1.93
<TD class=xl34
x:num>-1.93
<TD class=xl35
height=17>AD
<TD class=xl36
x:num="37385">05/09/2002
<TD class=xl37
x:num>0
<TD class=xl37
x:num>0
<TD class=xl37
x:num>0
<TD class=xl37
x:num>0
<TD class=xl38
x:num>45.84
<TD class=xl38
x:num>44.80
<TD class=xl38
x:num>45.84
<TD class=xl38
x:num>44.80
<TD class=xl38
x:num="10000">10,000.00
<TD class=xl38
x:num="9689.61">9,689.61
<TD class=xl38
x:num>-3.10
<TD class=xl38
x:num>-3.10
<TD class=xl31
height=17>AD
<TD class=xl32
x:num="37386">05/10/2002
<TD class=xl33
x:num>0
<TD class=xl33
x:num>0
<TD class=xl33
x:num>0
<TD class=xl33
x:num>1
<TD class=xl34
x:num>44.84
<TD class=xl34
x:num>43.76
<TD class=xl34
x:num>44.84
<TD class=xl34
x:num>43.88
<TD class=xl34
x:num="10000">10,000.00
<TD class=xl34
x:num="9914.53">9,914.53
<TD class=xl34
x:num>-0.85
<TD class=xl34
x:num>-3.10
<TD class=xl31
height=17>AD
<TD class=xl32
x:num="37389">05/13/2002
<TD class=xl33
x:num>0
<TD class=xl33
x:num>0
<TD class=xl33
x:num>0
<TD class=xl33
x:num>0
<TD class=xl34
x:num>43.88
<TD class=xl34
x:num>43.51
<TD class=xl34
x:num>44.09
<TD class=xl34
x:num>43.90
<TD class=xl34
x:num="10130.46">10,130.46
<TD class=xl34
x:num="10130.46">10,130.46
<TD class=xl34
x:num>0.00
<TD class=xl34
x:num>-3.10
<TD
height=17>
<TD class=xl24
><FONT
face=Arial size=2>
<TD class=xl26
><FONT
face=Arial size=2>
<TD class=xl26
><FONT
face=Arial size=2>
<TD class=xl26
><FONT
face=Arial size=2>
<TD class=xl26
><FONT
face=Arial size=2>
<TD class=xl25
><FONT
face=Arial size=2>
<TD class=xl25
><FONT
face=Arial size=2>
<TD class=xl25
><FONT
face=Arial size=2>
<TD class=xl25
><FONT
face=Arial size=2>
<TD class=xl25
><FONT
face=Arial size=2>
<TD class=xl25
><FONT
face=Arial size=2>
<TD class=xl25
><FONT
face=Arial size=2>
<TD class=xl25
><FONT
face=Arial size=2>
<TD
height=17>
<TD class=xl24
><FONT
face=Arial size=2>224.921 shares
<TD class=xl26
>
<TD class=xl26
>
<TD class=xl26
>
<TD class=xl26
>
<TD class=xl25
>
<TD class=xl25
>
<TD class=xl25
>
<TD class=xl25
>
<TD class=xl25
>
<TD class=xl25
>
<TD class=xl25
>
<TD class=xl25
>
The trade in the above is a Short and the results
are from an Exploration.
The line I'm interested in is the yellow one.
How did the equity() calc come up with 9,689.61?
Thanks for any/all explanations!!
d
Yahoo! Groups Sponsor
ADVERTISEMENT
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.
|