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Thank
you TJ ! As Fred explained he provided me an example in a spreadsheet and
that got me straightened out! I tend to make things more complicated than they
need to be.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>d
<FONT
face=Tahoma size=2>-----Original Message-----From: Tomasz Janeczko
[mailto:amibroker@xxxxxx] Sent: Saturday, May 17, 2003 4:16
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
I'm on the ledge an I swear I'm going to JUMP!
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.<SPAN
> 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
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<SPAN
>^
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<SPAN
>|
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
width=157>
<SPAN
>System
drawdown:
<TD
width=72 u1:num>
<SPAN
>-84.08
<TD
width=71>
<P class=MsoNormal
>
<TD
width=43>
<P class=MsoNormal
>
<TD
width=71>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<SPAN
>|
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
width=157>
<SPAN
>Max. system
drawdown:
<TD
width=72 u1:num>
<SPAN
>-658.16
<TD
width=71>
<P class=MsoNormal
>
<TD
width=43>
<P class=MsoNormal
>
<TD
width=71>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<SPAN
>From
Exploration
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<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
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
width=157>
<SPAN
>Max. trade
drawdown:
<TD
width=72 u1:num>
<SPAN
>-658.16
<TD
width=71>
<P class=MsoNormal
>
<TD
width=43>
<P class=MsoNormal
>
<TD
width=71>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
colSpan=3>
<SPAN
>From back test
Run
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<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>
<P class=MsoNormal
>
<TD
width=43>
<P class=MsoNormal
>
<TD
width=71>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<SPAN
>|
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
width=157>
<SPAN
>Trade
drawdown:
<TD
width=72 u1:num>
<SPAN
>-84.08
<TD
width=71>
<P class=MsoNormal
>
<TD
width=43>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<SPAN
>|
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<SPAN
>|
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<SPAN
>v
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<TD
>
<P class=MsoNormal
>
<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
<P class=MsoNormal
> Send BUG
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