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Hello,
Yes I can reproduce it and it is indeed wrong result.
I have already fixed it in my development version.
Problem was that in new backtester by mistake max. point adverse excursion
was taken for calculations instead of max. percent excursion.
Since those two do not happen always at the same times
it lead to this problem.
Thank you for pointing out this problem in early beta.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "jtelang" <jtelang@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, September 30, 2003 10:33 PM
Subject: [amibroker] Re: Max system % drawdown in portfolio trader...
> 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
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> > >
>
>
>
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