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I have stared at
this for a couple of hours...
I just don't see
where it is off, I'm using 1 month of Intraday data, trading at the Close,
Delay 0, Long Only
<FONT face=Arial
size=2>
Why
doesn't the Exploration match the Backtest Report ...
It's close, but not the same ...
1) Where
is my rounding error in the Exploration
calc's?
<FONT face=Arial
size=2>and
2) Why
do the Drawdowns not match the Backtest Report (Using Worst
Case)
<FONT face=Arial
size=2>
Thanks in advance
for any suggestions...
<FONT face=Arial
size=2>
Mr.
Valley
<FONT face=Arial
size=2>
BIR = IIf(<FONT
color=#0000ff size=1>Status(<FONT color=#ff00ff
size=1>"BarInRange") > <FONT color=#ff00ff
size=1>0, 1<FONT
size=1>, 0);
CurEq = Equity();
MaxEq = Highest<FONT
size=1>(CurEq);
CurDD = IIf(BIR,
100 * (MaxEq - CurEq) /
MaxEq, 0);
MaxDD = Highest<FONT
size=1>(CurDD);
NumOfShares = round<FONT
size=1>(CurEq / Close);
Commission = 22.00;
// RoundTurn Commission Setting 11.00 Each for
Buy and Sell - Change as Needed
BP1 = ValueWhen(
Buy, C, 1);
//BP1 = BuyPrice;
SP1 = ValueWhen(
Sell, C, 1);
//SP1 = SellPrice;
Profit = (( SP1 - Ref(
BP1,-1) ) * NumOfShares) -
Commission ;
CumProfit = Cum(
IIf( <FONT
color=#0000ff size=1>IsEmpty( Profit * Sell ),
0, Profit * Sell )
);
Filter = Sell;
AddColumn( Buy, <FONT color=#ff00ff
size=1>"Buy", format = <FONT color=#ff00ff
size=1>1.2, textColor = colorDefault, bkgndColor =
colorDefault ) ;
AddColumn( Sell, <FONT color=#ff00ff
size=1>"Sell", format = <FONT color=#ff00ff
size=1>1.2, textColor = colorDefault, bkgndColor =
colorDefault ) ;
AddColumn( Short, <FONT color=#ff00ff
size=1>"Short", format = <FONT color=#ff00ff
size=1>1.2, textColor = colorDefault, bkgndColor =
colorDefault ) ;
AddColumn( Cover, <FONT color=#ff00ff
size=1>"Cover", format = <FONT color=#ff00ff
size=1>1.2, textColor = colorDefault, bkgndColor =
colorDefault ) ;
//AddColumn( BuyPrice, "BuyPrice", format = 1.2, textColor = colorDefault,
bkgndColor = colorDefault ) ; <FONT color=#008000
size=1>
//AddColumn( SellPrice, "SellPrice", format = 1.2, textColor = colorDefault,
bkgndColor = colorDefault ) ; <FONT color=#008000
size=1>
//AddColumn( ShortPrice, "ShortPrice", format = 1.2, textColor =
colorDefault, bkgndColor = colorDefault ) ; <FONT
color=#008000 size=1>
//AddColumn( CoverPrice, "CoverPrice", format = 1.2, textColor =
colorDefault, bkgndColor = colorDefault ) ; <FONT
color=#0000ff size=1>
AddColumn( Close, <FONT color=#ff00ff
size=1>"Close", format = <FONT color=#ff00ff
size=1>1.2, textColor = colorDefault, bkgndColor =
colorDefault ) ;
AddColumn( Profit, <FONT color=#ff00ff
size=1>"Profit", format = <FONT color=#ff00ff
size=1>1.2, textColor = colorDefault, bkgndColor =
colorDefault ) ;
AddColumn(C, <FONT color=#ff00ff
size=1>"Close",<FONT color=#ff00ff
size=1>1.2);
AddColumn(O, <FONT color=#ff00ff
size=1>"Open",<FONT color=#ff00ff
size=1>1.2);
AddColumn(L, <FONT color=#ff00ff
size=1>"Low",<FONT color=#ff00ff
size=1>1.2);
AddColumn(H, <FONT color=#ff00ff
size=1>"High",<FONT color=#ff00ff
size=1>1.2);
AddColumn(CumProfit , <FONT color=#ff00ff
size=1>"CumProfit ",<FONT color=#ff00ff
size=1>1.2);
AddColumn(NumOfShares, <FONT color=#ff00ff
size=1>"NumOfShares",<FONT color=#ff00ff
size=1>1.0<FONT
size=1>);
AddColumn(MaxEq,<FONT color=#ff00ff
size=1>"MaxEq",<FONT color=#ff00ff
size=1>1.2);
AddColumn(CurEq,<FONT color=#ff00ff
size=1>"Equity()",<FONT color=#ff00ff
size=1>1.2);
AddColumn(-CurDD,<FONT color=#ff00ff
size=1>"CDD%",<FONT color=#ff00ff
size=1>1.2);
AddColumn(-MaxDD,<FONT color=#ff00ff
size=1>"MDD%",<FONT color=#ff00ff
size=1>1.2);
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