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[amibroker] Re: Max system % drawdown in portfolio trader...



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Tomasz,

I could reproduce it with the example system from README on same 
dates for NASD 100 stocks -

---------------------
BBandWid = 2;
BBAvg = MA(Close, 20);
UBBand = BBandTop(Close, 20, BBandWid);
LBBand = BBandBot(Close, 20, BBandWid);
rScore = 50 - 100 * (Close - LBBand) / (UBBand - LBBand);

PositionSize = -25;
PositionScore = rScore;
---------------------

Relevant settings as follows -

$ - 100000
All stops disabled
MaxRanked - 20
MaxTraded - 10
MaxTracked - 100
MinShares - 10
All trade settings - Close with 0 delay

Could you try it with your data for that period specified with these 
settings and see if you can reproduce? If not, I'll zip up all logs, 
etc. and send it to you.

Interestingly, I noticed that when I change the trade settings to 
buy/short on Open and/or add a 1 day delay, I don't see the problem. 
Not sure if it matters... 

Thanks.

Jitu

--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx> 
wrote:
> Hello,
> 
> Should be.... but without sending DETAILS one would never know
> what you did in fact. 
> With details I mean trade log, report and the settings.
> 
> 
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message ----- 
> From: "jtelang" <jtelang@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Tuesday, September 30, 2003 9:25 PM
> Subject: [amibroker] Max system % drawdown in portfolio trader...
> 
> 
> > I'm puzzled about the results that I'm seeing in my tests. As max 
> > system % drawdown in a portfolio simulation, I see the following -
> > 
> > 01/01/1999 to 12/31/1999 : -17.07%
> > 01/01/1999 to 12/31/2000 : -13.39%
> > 
> > Note that the first half of the second period is same as the 
first 
> > period. So if the first year had a drawdown of 17%, how and why 
does 
> > it say in the second test that it was 13%? It should be >= 17%, 
no?
> > 
> > If I compare the resulting trades, the trades are identical for 
the 
> > first period in both the tests.
> > 
> > Any ideas?
> > 
> > Jitu
> > 
> > 
> > 
> > 
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
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> > 
> >


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