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TJ,
I got him on track off line ...
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> MessageDale,
>
> 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 Janeczko
> amibroker.com
> ----- Original Message -----
> From: dingo
> To: _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!
>
>
> I need some help! 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.
>
>
>
> 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".
>
>
>
> 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?
>
>
>
>
>
> Ticker
> Date/Time
> Buy
> Sell
> Short
> Cover
> Open
> Low
> High
> Close
> Shares
> Equity
> Profit
>
>
> AD
> 04/10/2003
> 1
> 0
> 0
> 0
> 34.84
> 34.29
> 34.85
> 34.45
> 289.939
> 10,000.00
>
>
>
> AD
> 04/11/2003
> 0
> 0
> 0
> 0
> 34.49
> 34.20
> 34.90
> 34.47
>
> 10,000.00
> 0.00
>
>
> AD
> 04/14/2003
> 0
> 0
> 0
> 0
> 34.47
> 34.47
> 35.50
> 35.36
>
> 9,994.20
> -5.80
>
>
> AD
> 04/15/2003
> 0
> 1
> 0
> 0
> 35.25
> 35.15
> 37.42
> 37.42
>
> 10,220.35
> 220.35
>
>
> AD
> 04/16/2003
> 0
> 0
> 0
> 0
> 37.59
> 36.62
> 37.66
> 36.75
>
> 10,898.81
> 898.81
>
>
>
>
>
>
>
>
>
>
>
>
> ^
>
>
>
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>
>
>
>
>
>
>
>
>
>
> |
>
>
>
>
> System drawdown:
> -84.08
>
>
>
>
>
>
>
>
> |
>
>
>
>
> Max. system drawdown:
> -658.16
>
>
>
>
>
>
>
>
> From Exploration
>
>
>
>
> Max. system % drawdown:
> -6.07%
> <-- From Back test Report
>
>
>
>
>
>
>
>
>
>
> Max. trade drawdown:
> -658.16
>
>
>
>
> From back test Run
>
>
>
>
>
>
> Max. trade % drawdown:
> -6.07%
>
>
>
>
>
> |
>
>
>
>
>
>
>
> Trade drawdown:
> -84.08
>
>
>
>
>
> |
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> v
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>
> Ticker
> Trade
> Date
> Price
> Ex. date
> Ex. Price
> % chg.
> Profit
> % Profit
> Shares
> Position value
> Cum. Profit
> # bars
> Profit/bar
>
> AD
> Long
> 04/11/2003
> 34.49
> 04/16/2003
> 37.59
> 9.00%
> 898.81
> 9.00%
> 289.939
> 10000
> 898.811
> 4
> 2.25%
>
>
>
>
> Thanks for you continued help for a confused old man!
>
>
>
> d
>
>
>
>
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