|
PureBytes Links
Trading Reference Links
|
TJ,
We're talking about fine points here but ...
On day of entry if entry is at close, close is the only piece of
meaningful info. If entry is based on the open then you can tell no
more about whether the high occured before the low regardless of
whether one has written Buy = Open +/- X or one writes Buy = Open.
As a result one has to assume in a worst case scenario that the high
occured before the low and that at the end of the bar the DD is
related to the High and the low of that bar. Similarly on day of
exit if entry is at open, open is the only piece of meaningful
information but if one writes Sell = Open +/- X or Sell = Close then
the high and low of that last bar should also be involved in the
calculation of DD.
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> 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@xxxx>
> 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
> > >
> > >
> > >
> > >
> > > Yahoo! Groups Sponsor
> > > ADVERTISEMENT
> > >
> > >
> > >
> > >
> > > Send BUG REPORTS to bugs@xxxx
> > > Send SUGGESTIONS to suggest@xxxx
> > > -----------------------------------------
> > > Post AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx
> > > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > > --------------------------------------------
> > > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >
> > > Your use of Yahoo! Groups is subject to the Yahoo! Terms of
> > Service.
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
> > -----------------------------------------
> > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > --------------------------------------------
> > Check group FAQ at:
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> > Your use of Yahoo! Groups is subject to
http://docs.yahoo.com/info/terms/
> >
> >
> >
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Get A Free Psychic Reading! Your Online Answer To Life's Important Questions.
http://us.click.yahoo.com/Lj3uPC/Me7FAA/uetFAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|