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I would like to clarify the difference
between Maxdd and Max “Loss in Trade”
As an example, suppose I buy a stock at 90
and it rises to 100, then falls to 80, then rises to 85, and I sell it at 85.
(Or the system makes these events happen.)
I think the MaxDD is 20% (100-80/100) or
20/100, but the Max Loss in Trade is 5.55% (90-85/90) or 5/90. This
latter phrase assumes that the 5.55% is the maximum loss of all trades during
the backtest period.
Is this correct?
Ken
-----Original Message-----
From: Tomasz Janeczko
[mailto:amibroker@xxxxxx]
Sent: Friday, May 16, 2003 5:33 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker]
Calculation of Equity and Drawdowns - trying to understand what's going on..
Hello,
The rule with no commission, no interest:
Profit = ( SellPrice - BuyPrice ) * NumOfShares;
(where sellprice is either sellprice or shortprice, and buyprice is
either buyprice or coverprice)
Your
SellPrice = 44.46 (one bar delay from short signal)
BuyPrice = 45.84 (the bar at which equity is calculated)
Profit ( 44.46 - 45.84 ) * <span
>224.921 = -310.3910
Now your equity at entry = 10000
so equity at "yellow" line = 10000 + Profit = 10000 -
310.3910 = 9689.61
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
<span
>From:<font
size=2 face=Arial> <a
href="" title="dingo@xxxxxxxxxx">dingo
To:<font size=2
face=Arial> <a
href="" title="amibroker@xxxxxxxxxxxxxxx">_amibroker_yahoo
; tj@xxxxxxxxxxxxx
Sent:<font size=2
face=Arial> Friday, May 16,
2003 9:49 PM
Subject:<font size=2
face=Arial> [amibroker]
Calculation of Equity and Drawdowns - trying to understand what's going on..
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
-----------------------------------------------------------------------------------
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 class=MsoNormalTable border=0 cellspacing=0 cellpadding=0 width=672
u1:str>
Ticker
Date/Time
Buy
Sell
Short
Cover
Open
Low
High
Close
MaxEq
Equity()
CDD%
MDD%
AD
<td height=17
u1:num="37377">
05/01/2002
<td height=17
u1:num>
0
<td height=17
u1:num>
0
<td height=17
u1:num>
1
<td height=17
u1:num>
0
<td height=17
u1:num>
43.40
<td height=17
u1:num>
43.00
<td height=17
u1:num>
44.61
<td height=17
u1:num>
44.51
<td height=17
u1:num="10000">
10,000.00
<td height=17
u1:num="10000">
10,000.00
<td height=17
u1:num>
0.00
<td height=17
u1:num>
0.00
AD
<td height=17
u1:num="37378">
05/02/2002
<td height=17
u1:num>
0
<td height=17
u1:num>
0
<td height=17
u1:num>
0
<td height=17
u1:num>
0
<td height=17
u1:num>
44.46
<td height=17
u1:num>
44.19
<td height=17
u1:num>
45.19
<td height=17
u1:num>
44.48
<td height=17
u1:num="10000">
10,000.00
<td height=17
u1:num="10000">
10,000.00
<td height=17
u1:num>
0.00
<td height=17
u1:num>
0.00
AD
<td height=17
u1:num="37379">
05/03/2002
<td height=17
u1:num>
0
<td height=17
u1:num>
0
<td height=17
u1:num>
0
<td height=17
u1:num>
0
<td height=17
u1:num>
44.73
<td height=17
u1:num>
44.67
<td height=17
u1:num>
45.19
<td height=17
u1:num>
45.07
<td height=17
u1:num="10000">
10,000.00
<td height=17
u1:num="9939.27">
9,939.27
<td height=17
u1:num>
-0.61
<td height=17
u1:num>
-0.61
AD
<td height=17
u1:num="37382">
05/06/2002
<td height=17
u1:num>
0
<td height=17
u1:num>
0
<td height=17
u1:num>
0
<td height=17
u1:num>
0
<td height=17
u1:num>
45.10
<td height=17
u1:num>
44.71
<td height=17
u1:num>
45.50
<td height=17
u1:num>
44.71
<td height=17
u1:num="10000">
10,000.00
<td height=17
u1:num="9856.05">
9,856.05
<td height=17
u1:num>
-1.44
<td height=17
u1:num>
-1.44
AD
<td height=17
u1:num="37383">
05/07/2002
<td height=17
u1:num>
0
<td height=17
u1:num>
0
<td height=17
u1:num>
0
<td height=17
u1:num>
0
<td height=17
u1:num>
44.70
<td height=17
u1:num>
44.60
<td height=17
u1:num>
45.36
<td height=17
u1:num>
45.17
<td height=17
u1:num="10000">
10,000.00
<td height=17
u1:num="9946.02">
9,946.02
<td height=17
u1:num>
-0.54
<td height=17
u1:num>
-1.44
AD
<td height=17
u1:num="37384">
05/08/2002
<td height=17
u1:num>
0
<td height=17
u1:num>
0
<td height=17
u1:num>
0
<td height=17
u1:num>
0
<td height=17
u1:num>
45.32
<td height=17
u1:num>
45.00
<td height=17
u1:num>
45.79
<td height=17
u1:num>
45.79
<td height=17
u1:num="10000">
10,000.00
<td height=17
u1:num="9806.57">
9,806.57
<td height=17
u1:num>
-1.93
<td height=17
u1:num>
-1.93
AD
05/09/2002
0
0
0
0
45.84
44.80
45.84
44.80
10,000.00
9,689.61
-3.10
-3.10
AD
<td height=17
u1:num="37386">
05/10/2002
<td height=17
u1:num>
0
<td height=17
u1:num>
0
<td height=17
u1:num>
0
<td height=17
u1:num>
1
<td height=17
u1:num>
44.84
<td height=17
u1:num>
43.76
<td height=17
u1:num>
44.84
<td height=17
u1:num>
43.88
<td height=17
u1:num="10000">
10,000.00
<td height=17
u1:num="9914.53">
9,914.53
<td height=17
u1:num>
-0.85
<td height=17
u1:num>
-3.10
AD
<td height=17
u1:num="37389">
05/13/2002
<td height=17
u1:num>
0
<td height=17
u1:num>
0
<td height=17
u1:num>
0
<td height=17
u1:num>
0
<td height=17
u1:num>
43.88
<td height=17
u1:num>
43.51
<td height=17
u1:num>
44.09
<td height=17
u1:num>
43.90
<td height=17
u1:num="10130.46">
10,130.46
<td height=17
u1:num="10130.46">
10,130.46
<td height=17
u1:num>
0.00
<td height=17
u1:num>
-3.10
<span
>
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>
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>
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>
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>
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>
<span
>
<span
>
<span
>
<span
>
<span
>
<span
>
<span
>
<span
>
<span
>
224.921 shares
<span
>
<span
>
<span
>
<span
>
<span
>
<span
>
<span
>
<span
>
<span
>
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<span
>
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
Send
BUG REPORTS to bugs@xxxxxxxxxxxxx<font size=2
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-----------------------------------------
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href="">http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
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Send
BUG REPORTS to bugs@xxxxxxxxxxxxx<font size=2
face="Courier New">
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx
(Web page: <a
href="">http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: <a
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of
Yahoo! Groups is subject to the Yahoo!
Terms of Service.
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.
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