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<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.>
Yes TJ,
Quite awhile back I posted that my backtests NEVER place a Stop Loss
on the same day that a position is entered simply because you never
know where during the day that the order was executed.
In my backtesting AND in my real mechanical trading, I NEVER place a
stop loss order on the same day that the position is entered. I wait
until after mkt close on the day the order is executed before I begin
the trailing stop loss series of orders.
This is the only way to secure a 'lockstep' relationship between
backtest results and real world trading results. (And most of the time
I try to achieve that 'lockstep' relationship.)
Phsst
--- 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
> > > > >
> > > > >
> > > > >
> > > > >
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