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Hello,
Equity plot is correct.
This bug affected only single % system drawdown
and only in the *portfolio* beta backtest report.
As I explained before % drawdown was calculated not from max % excursion
but from max. point excursion. In some cases this leads to correct results
in some not. Generally speaking it leads to correct results if you do
not use compounding (the position size in each trade is constant),
but it may be incorrect if you use compounding.
Generally speaking Portfolio backtest report in 4.42.0 is in early beta stage
(as clearly written in red letters in each report)
- so obviously there may be some bugs and also some calculations
may (and will) be changed (like exposure % that will be calculated not only
based on bars in trade compared to total number of bars (like in old report)
but will include also % of funds available being invested in trade on bar by bar basis)
I am currently working on fixing all remaining issues and testing and next version 4.43.0 (the end of this week)
will have portfolio report/statistics cleaned up and thoroughly tested so you will be able to depend on it.
Right now (in 4.42.0) you should not use the report for anything else than just testing
and previewing new features.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "jtelang" <jtelang@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, October 01, 2003 2:56 AM
Subject: [amibroker] Re: Max system % drawdown in portfolio trader...
> 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
> > > > >
> > > > >
> > > > >
> > > > >
> > > > > Send BUG REPORTS to bugs@xxxx
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> > > > >
> > > > >
> > >
> > >
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> > >
>
>
>
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