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Okay ... that I understand ... except that I would think the
backtester would be aware of whatever settings one has overridden in
their own AFL, but no matter as I said we are talking fine points
here and I'm sure you know the way.
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> Fred,
>
> Simply because things defined inside formula always override the
settings.
> So if you write
> BuyPrice = Open;
>
> it enters on OPEN, regardless of settings. That's why there is a
problem.
> Now when OPEN price is equal to CLOSE price the backtester does
> not really know if you have different entry price than in the
settings or not.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "Fred" <fctonetti@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Saturday, May 17, 2003 11:36 PM
> Subject: [amibroker] Re: I'm on the ledge an I swear I'm going to
JUMP!
>
>
> > Uhhh ... I'm not sure I follow you here ... If the settings are
buy
> > on close then no other info about the bar is relevant because of
> > course the close occured after in time from every other piece of
info
> > about the bar. Why would the backtester care about any other
> > information related to the bar ?
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko"
<amibroker@xxxx>
> > wrote:
> > > 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@xxxx>
> > > 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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