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<SPAN
>I need some help!<SPAN
> I’m trying to take the part of the help
file that Tomasz posted for me and translate that into an example for
calculating Max Drawdown percentage.<?xml:namespace prefix = o ns =
"urn:schemas-microsoft-com:office:office" />
<SPAN
>
<SPAN
>My settings are Delay 1, Open
and Worst Case for drawdowns and I am still having a stupidly difficult
time understanding how to calculate it.
The help file states: (and I have read it many times) "To calculate the
dip you can use the worst case scenario: low price for long trades and high
price for short trades".
<SPAN
>Using the example of the "long"
below the problem I'm having is not with the Low price but the other price -
what is the other price? The documentation leaves this part out. Is it the
original open price? Is it the highest open price? Is it the highest high
price? Is it the price of tea in China?
<TABLE class=MsoNormalTable
cellSpacing=0 cellPadding=0 width=981 border=0 u1:str>
<COL
width=157>
<COL
width=72>
<COL
width=71>
<COL
width=42>
<COL
width=71>
<COL
width=61>
<COL
width=48>
<COL
width=49>
<COL
width=53>
<COL
width=56>
<COL
width=98>
<COL
width=83>
<COL
width=46>
<COL
width=72>
<TD
width=157>
<SPAN
>Ticker
<TD
width=72>
<SPAN
>Date/Time
<TD
width=71>
<SPAN
>Buy
<TD
width=43>
<SPAN
>Sell
<TD
width=71>
<SPAN
>Short
<TD
width=61>
<SPAN
>Cover
<TD
width=48>
<SPAN
>Open
<TD
width=49>
<SPAN
>Low
<TD
width=53>
<SPAN
>High
<TD
width=56>
<SPAN
>Close
<TD
width=99>
<SPAN
>Shares
<TD
width=83>
<SPAN
>Equity
<TD
width=47>
<SPAN
>Profit
<TD
width=72>
<TD
>
<SPAN
>AD
<TD
u1:num="37721">
<P class=MsoNormal
align=right><SPAN
>04/10/2003
<TD
u1:num>
<SPAN
>1
<TD
u1:num>
<SPAN
>0
<TD
u1:num>
<SPAN
>0
<TD
u1:num>
<SPAN
>0
<TD
u1:num>
<SPAN
>34.84
<TD
u1:num>
<SPAN
>34.29
<TD
u1:num>
<SPAN
>34.85
<TD
u1:num>
<SPAN
>34.45
<TD
u1:num="289.93900000000002">
<P class=MsoNormal
align=right><SPAN
>289.939
<TD
u1:num="10000">
<SPAN
>10,000.00
<TD
>
<SPAN
>
<TD
>
<TD
>
<SPAN
>AD
<TD
u1:num="37722">
<P class=MsoNormal
align=right><SPAN
>04/11/2003
<TD
u1:num>
<SPAN
>0
<TD
u1:num>
<SPAN
>0
<TD
u1:num>
<SPAN
>0
<TD
u1:num>
<SPAN
>0
<TD
u1:num>
<SPAN
>34.49
<TD
u1:num>
<SPAN
>34.20
<TD
u1:num>
<SPAN
>34.90
<TD
u1:num>
<SPAN
>34.47
<TD
>
<SPAN
>
<TD
u1:num="10000">
<SPAN
>10,000.00
<TD
u1:num u1:fmla="=L3-$L$3">
<SPAN
>0.00
<TD
>
<SPAN
>
<TD
>
<SPAN
>AD
<TD
u1:num="37725">
<P class=MsoNormal
align=right><SPAN
>04/14/2003
<TD
u1:num>
<SPAN
>0
<TD
u1:num>
<SPAN
>0
<TD
u1:num>
<SPAN
>0
<TD
u1:num>
<SPAN
>0
<TD
u1:num>
<SPAN
>34.47
<TD
u1:num>
<SPAN
>34.47
<TD
u1:num>
<SPAN
>35.50
<TD
u1:num>
<SPAN
>35.36
<TD
>
<SPAN
>
<TD
u1:num="9994.2">
<SPAN
>9,994.20
<TD
u1:num="-5.7999999999992724" u1:fmla="=L4-$L$3">
<SPAN
>-5.80
<TD
>
<TD
>
<SPAN
>AD
<TD
u1:num="37726">
<P class=MsoNormal
align=right><SPAN
>04/15/2003
<TD
u1:num>
<SPAN
>0
<TD
u1:num>
<SPAN
>1
<TD
u1:num>
<SPAN
>0
<TD
u1:num>
<SPAN
>0
<TD
u1:num>
<SPAN
>35.25
<TD
u1:num>
<SPAN
>35.15
<TD
u1:num>
<SPAN
>37.42
<TD
u1:num>
<SPAN
>37.42
<TD
>
<SPAN
>
<TD
u1:num="10220.35">
<SPAN
>10,220.35
<TD
u1:num u1:fmla="=L5-$L$3">
<SPAN
>220.35
<TD
>
<TD
>
<SPAN
>AD
<TD
u1:num="37727">
<P class=MsoNormal
align=right><SPAN
>04/16/2003
<TD
u1:num>
<SPAN
>0
<TD
u1:num>
<SPAN
>0
<TD
u1:num>
<SPAN
>0
<TD
u1:num>
<SPAN
>0
<TD
u1:num>
<SPAN
>37.59
<TD
u1:num>
<SPAN
>36.62
<TD
u1:num>
<SPAN
>37.66
<TD
u1:num>
<SPAN
>36.75
<TD
>
<SPAN
>
<TD
u1:num="10898.81">
<SPAN
>10,898.81
<TD
u1:num="898.80999999999949" u1:fmla="=L6-$L$3">
<SPAN
>898.81
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<SPAN
>^
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<SPAN
>|
<TD
>
<TD
>
<TD
>
<TD
width=157>
<SPAN
>System
drawdown:
<TD
width=72 u1:num>
<SPAN
>-84.08
<TD
width=71>
<TD
width=43>
<TD
width=71>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<SPAN
>|
<TD
>
<TD
>
<TD
>
<TD
width=157>
<SPAN
>Max. system
drawdown:
<TD
width=72 u1:num>
<SPAN
>-658.16
<TD
width=71>
<TD
width=43>
<TD
width=71>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<SPAN
>From
Exploration
<TD
>
<TD
>
<TD
>
<TD
width=157>
<SPAN
>Max. system %
drawdown:
<TD
width=72 u1:num="-6.0699999999999997E-2">
<SPAN
>-6.07%
<TD
width=184 colSpan=3>
<SPAN
><-- From Back test
Report
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
width=157>
<SPAN
>Max. trade
drawdown:
<TD
width=72 u1:num>
<SPAN
>-658.16
<TD
width=71>
<TD
width=43>
<TD
width=71>
<TD
>
<TD
colSpan=3>
<SPAN
>From back test
Run
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
width=157>
<SPAN
>Max. trade %
drawdown:
<TD
width=72 u1:num="-6.0699999999999997E-2">
<SPAN
>-6.07%
<TD
width=71>
<TD
width=43>
<TD
width=71>
<TD
>
<TD
>
<TD
>
<SPAN
>|
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
width=157>
<SPAN
>Trade
drawdown:
<TD
width=72 u1:num>
<SPAN
>-84.08
<TD
width=71>
<TD
width=43>
<TD
>
<TD
>
<TD
>
<TD
>
<SPAN
>|
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<SPAN
>|
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<SPAN
>v
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<SPAN
>Ticker
<TD
>
<SPAN
>Trade
<TD
>
<SPAN
>Date
<TD
>
<SPAN
>Price
<TD
>
<SPAN
>Ex.
date
<TD
>
<SPAN
>Ex.
Price
<TD
>
<SPAN
>%
chg.
<TD
>
<SPAN
>Profit
<TD
>
<SPAN
>%
Profit
<TD
>
<SPAN
>Shares
<TD
>
<SPAN
>Position
value
<TD
>
<SPAN
>Cum.
Profit
<TD
>
<SPAN
>#
bars
<TD
>
<SPAN
>Profit/bar
<TD
>
<SPAN
>AD
<TD
>
<SPAN
>Long
<TD
u1:num="37722">
<SPAN
>04/11/2003
<TD
u1:num>
<SPAN
>34.49
<TD
u1:num="37727">
<SPAN
>04/16/2003
<TD
u1:num>
<SPAN
>37.59
<TD
u1:num="0.09">
<P class=MsoNormal
align=right><SPAN
>9.00%
<TD
u1:num>
<P class=MsoNormal
align=right><SPAN
>898.81
<TD
u1:num="0.09">
<P class=MsoNormal
align=right><SPAN
>9.00%
<TD
u1:num="289.93900000000002">
<P class=MsoNormal
align=right><SPAN
>289.939
<TD
u1:num>
<P class=MsoNormal
align=right><SPAN
>10000
<TD
u1:num="898.81100000000004">
<P class=MsoNormal
align=right><SPAN
>898.811
<TD
u1:num>
<P class=MsoNormal
align=right><SPAN
>4
<TD
u1:num="2.2499999999999999E-2">
<P class=MsoNormal
align=right><SPAN
>2.25%
<SPAN
>Thanks for you continued help for a
confused old man!
<SPAN
>d
<P class=MsoNormal
>
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