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Yes
you did and thanks!!
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<FONT
face=Tahoma size=2>-----Original Message-----From: Fred
[mailto:fctonetti@xxxxxxxxx] Sent: Saturday, May 17, 2003 4:41
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
I'm on the ledge an I swear I'm going to
JUMP!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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|>
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> System
drawdown:>
-84.08>
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|>
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> Max. system
drawdown:>
-658.16>
>
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>
> From
Exploration>
>
>
>
> Max. system %
drawdown:>
-6.07%> <-- From Back test
Report>
>
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>
> Max. trade
drawdown:>
-658.16>
>
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>
> From back test
Run>
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>
> Max. trade %
drawdown:>
-6.07%>
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|>
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> Trade
drawdown:>
-84.08>
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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> > >
> > Yahoo!
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> >
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