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Fred:
Do you agree that over all trades, if the 20% equity dd of that one
trade that I described is the largest dd of all, then it is called the
MaxDD?
Max Trade loss is determined by sorting the Profit% column in the
backtest grid and looking at the min value (the highest minus value).
This one trade will be the largest Trade Loss (what I was calling Loss
in Trade). It is NOT the Mdd.
Do you agree?
Ken
-----Original Message-----
From: Fred [mailto:fctonetti@xxxxxxxxx]
Sent: Friday, May 16, 2003 9:47 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Calculation of Equity and Drawdowns - trying to
understand what's going on..
NO ...
Max TRADE loss applies to a single trade as is also referred to as
largest loss ... and is in the case you describe 20% ...
Max DD is NOT constricted to the confines of ONE trade ... think of
it as having two back to back trades like the one you descibe ...
largest loss is still 20% but Max DD is 40%
--- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx> wrote:
> 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@x...]
> 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 ) * 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 -----
>
> From: dingo <mailto:dingo@x...>
>
> To: _amibroker_yahoo <mailto:amibroker@xxxxxxxxxxxxxxx> ;
> tj@xxxx
>
> Sent: Friday, May 16, 2003 9:49 PM
>
> Subject: [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);
>
>
>
>
> Ticker
>
> Date/Time
>
> Buy
>
> Sell
>
> Short
>
> Cover
>
> Open
>
> Low
>
> High
>
> Close
>
> MaxEq
>
> Equity()
>
> CDD%
>
> MDD%
>
>
> AD
>
> 05/01/2002
>
> 0
>
> 0
>
> 1
>
> 0
>
> 43.40
>
> 43.00
>
> 44.61
>
> 44.51
>
> 10,000.00
>
> 10,000.00
>
> 0.00
>
> 0.00
>
>
> AD
>
> 05/02/2002
>
> 0
>
> 0
>
> 0
>
> 0
>
> 44.46
>
> 44.19
>
> 45.19
>
> 44.48
>
> 10,000.00
>
> 10,000.00
>
> 0.00
>
> 0.00
>
>
> AD
>
> 05/03/2002
>
> 0
>
> 0
>
> 0
>
> 0
>
> 44.73
>
> 44.67
>
> 45.19
>
> 45.07
>
> 10,000.00
>
> 9,939.27
>
> -0.61
>
> -0.61
>
>
> AD
>
> 05/06/2002
>
> 0
>
> 0
>
> 0
>
> 0
>
> 45.10
>
> 44.71
>
> 45.50
>
> 44.71
>
> 10,000.00
>
> 9,856.05
>
> -1.44
>
> -1.44
>
>
> AD
>
> 05/07/2002
>
> 0
>
> 0
>
> 0
>
> 0
>
> 44.70
>
> 44.60
>
> 45.36
>
> 45.17
>
> 10,000.00
>
> 9,946.02
>
> -0.54
>
> -1.44
>
>
> AD
>
> 05/08/2002
>
> 0
>
> 0
>
> 0
>
> 0
>
> 45.32
>
> 45.00
>
> 45.79
>
> 45.79
>
> 10,000.00
>
> 9,806.57
>
> -1.93
>
> -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
>
> 05/10/2002
>
> 0
>
> 0
>
> 0
>
> 1
>
> 44.84
>
> 43.76
>
> 44.84
>
> 43.88
>
> 10,000.00
>
> 9,914.53
>
> -0.85
>
> -3.10
>
>
> AD
>
> 05/13/2002
>
> 0
>
> 0
>
> 0
>
> 0
>
> 43.88
>
> 43.51
>
> 44.09
>
> 43.90
>
> 10,130.46
>
> 10,130.46
>
> 0.00
>
> -3.10
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
> 224.921 shares
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
> 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@xxxx
> Send SUGGESTIONS to suggest@xxxx
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>
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>
>
> Send BUG REPORTS to bugs@xxxx
> Send SUGGESTIONS to suggest@xxxx
> -----------------------------------------
> 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!
> <http://docs.yahoo.com/info/terms/> Terms of Service.
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