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Dale,
Let's start with reading manual:
Max. system % drawdown: The largest percentage distance
between equity peak value and the following trough value experienced by the
system
In other words it is max PEAK-TROUGH % distance experienced by
the system. For longs Peak is calculated from High, trough is
calculated from Low (I think this is obvious).
As it was already explained on this list if you use "worst
case" then draw down calculations use H-L prices from the entry bar to the exit
bar (including those bars).
In your case the highest high since entry happens on 4/15/2003
(37.42) and since this is the last bar of the trade the after-peak trough is the
low of the same bar
(this is a worst-case assumption, since EOD bar does not
have any timing information about if low happened before or after the high, the
worst case is assumed
(low after high)) so the low is 35.15 (also on 4/15/2003 ).
The difference between peak and trough after peak is = - 2,27 , in percents
since peak this is = -6.07%
and this is what is reported in the report. Note that worst
case setting includes exit H-L range even if you exit on open because there is
no timing information in sell rule. This does not happen when you use other
drawdown settings (use open or use close). So it would be probably
easier to understand if you set 'Base drawdowns on open
price'.
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
dingo
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">_amibroker_yahoo
Sent: Saturday, May 17, 2003 7:45
PM
Subject: [amibroker] I'm on the ledge an
I swear I'm going to JUMP!
<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.
<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>
<P class=MsoNormal
>
<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
>
<P class=MsoNormal
>
<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$3">
<SPAN
>-5.80
<TD
>
<P class=MsoNormal
>
<TD
>
<SPAN
>AD
<TD
u1:num="37726">
<P class=MsoNormal
align=right><SPAN
>04/15/2003
<TD
u1:num>
<SPAN
>0
<TD
u1:num>
<SPAN
>1
<TD
u1:num>
<SPAN
>0
<TD
u1:num>
<SPAN
>0
<TD
u1:num>
<SPAN
>35.25
<TD
u1:num>
<SPAN
>35.15
<TD
u1:num>
<SPAN
>37.42
<TD
u1:num>
<SPAN
>37.42
<TD
>
<SPAN
>
<TD
u1:num="10220.35">
<SPAN
>10,220.35
<TD
u1:num u1:fmla="=L5-$L$3">
<SPAN
>220.35
<TD
>
<P class=MsoNormal
>
<TD
>
<SPAN
>AD
<TD
u1:num="37727">
<P class=MsoNormal
align=right><SPAN
>04/16/2003
<TD
u1:num>
<SPAN
>0
<TD
u1:num>
<SPAN
>0
<TD
u1:num>
<SPAN
>0
<TD
u1:num>
<SPAN
>0
<TD
u1:num>
<SPAN
>37.59
<TD
u1:num>
<SPAN
>36.62
<TD
u1:num>
<SPAN
>37.66
<TD
u1:num>
<SPAN
>36.75
<TD
>
<SPAN
>
<TD
u1:num="10898.81">
<SPAN
>10,898.81
<TD
u1:num="898.80999999999949" u1:fmla="=L6-$L$3">
<SPAN
>898.81
<TD
>
<P class=MsoNormal
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<SPAN
>^
<TD
>
<TD
>
<TD
>
<P class=MsoNormal
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<SPAN
>|
<TD
>
<TD
>
<TD
>
<P class=MsoNormal
>
<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
>
<P class=MsoNormal
>
<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
>
<P class=MsoNormal
>
<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
>
<P class=MsoNormal
>
<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
>
<P class=MsoNormal
>
<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
>
<P class=MsoNormal
>
<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
>
<P class=MsoNormal
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<SPAN
>|
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<P class=MsoNormal
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<SPAN
>v
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<P class=MsoNormal
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
<P class=MsoNormal
>
<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
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