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No problem. Glad to have found it.
Do you think the bug would also affect the portfolio equity plot, or
any other statistics numbers for that matter?
Jitu
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> 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@xxxx>
> 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
> > > >
> > > >
> > > >
> > > >
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