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Fred,
You are right but... making assumptions about inside-bar timing is somewhat tricky.
In fact I already told the whole story sometime ago, but here is a short version.
Let's assume that user has Entry and Exit on Close set in the settings dialog.
Now the formula includes the following code:
... formula here..
BuyPrice = Open;
SellPrice = Open;
Now should AMiBroker use entry bar H-L or not ? (settings and formula say opposite things)
You may say that it should test if buyprice is open and then use appropriate range.
OK, but what about this:
Buy = ...
Sell = ...
BuyPrice = Open + 0.01;
SellPrice = Open - 0.01; // for slippage
In that case there is really no way to correctly guess the timing.
So as I wrote already in the past this could be addressed only in one way
- by adding intra-bar timing information to trading rules (since depending on prices is not really an option).
And this will be possible after rewrite of the backtester that is due.
Hope this addresses your concerns.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Fred" <fctonetti@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, May 17, 2003 10:43 PM
Subject: [amibroker] Re: I'm on the ledge an I swear I'm going to JUMP!
> However the description you provided is not accurate in terms of what
> should happen.
>
> The H & L are not relevant information on the day of entry when
> entries are based on close nor on day of exit when exits are based on
> open.
>
> --- 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
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> > ^
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> > |
> >
> >
> >
> >
> > 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
> >
> >
> >
> >
> >
> > |
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> > |
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> > v
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> > 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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> >
> >
> >
> >
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>
>
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