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Dave,
What is your point of reference to reported MDD discrepancy? Are you
backtesting single issues or portfolios?
--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx> wrote:
> it's odd. most of the time it agrees exactly with the backtest
report, but
> not always. sometimes it's significantly different, and not just
right at
> the start.
>
> what am I doing wrong here?
>
> MDD should be the biggest drop to date, from the highest equity to
date to
> the current equity value, as a percentage of the highest equity to date,
> yes?
>
> actually, the help says it's this: "The largest percentage distance
between
> equity peak value and the following trough value experienced by the
system".
> that sounds like it could mean it's only concerned with the next trough
> immediately following the peak, but I don't think that's so.
>
> ???
>
> d
> continuing an earlier thread, I'm showing equity in an indicator,
> according
> to buy/sell signals it displays. I'd like to show maximum %
drawdown in
> the
> title.
>
> does this look right?
> ---------
> e = Equity(1, 0);
> max_e = Highest(e);
> MDD = Highest((max_e - e) / max_e) * 100;
> ---------
>
> it's very close to what I get from the report when I backtest
using the
> same
> buy/sell rules, but not always exact in very early bars. quite usably
> close
> actually, but the difference makes me question my thinking.
>
> any ideas?
>
> thanks,
>
> Dave Merrill
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