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Fred,
This is exactly what I tried to tell in my previous message :-)
.. the only difference is that in my opinion you simply can NOT depend on PRICES.
Why? there is a simple example:
let's assume that entry and exit bars where DOJIs.
So Close == Open;
Now the user writes
BuyPrice = Open;
Settings are set to buy price = Close.
Now backtester checks the price and it is (say) 10.25
and looks for open for given bar - and it is 10.25 but then... hey
the close is 10.25 TOO !
Now how AmiBroker should know if this is open or close price.
So I belive that the only way is to add special info about timing.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Fred" <fctonetti@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, May 17, 2003 11:12 PM
Subject: [amibroker] Re: I'm on the ledge an I swear I'm going to JUMP!
> 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
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> > > >
> > > >
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>
>
>
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