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Re: [amibroker] Re: Price range filtering



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Thank 
you Hermand and Dave, but I dont think that would give me 
drawdown.
Max 
drawdown is defined by the largest peak to valley decline experienced in any 
single trade. 
But 
Herman your code has inspired me to try the following:
<SPAN 
class=836523104-18012004>------------------------------------------------------
 
<FONT 
color=#0000ff>Filter=Buy OR 
Sell;
<FONT 
size=2>eq=Equity(<SPAN 
class=836523104-18012004>0);<FONT 
size=1>
<SPAN 
class=836523104-18012004>heq=HighestSince(Buy,eq);<FONT 
size=1>
<SPAN 
class=836523104-18012004>leq=LowestSince(Buy,<SPAN 
class=836523104-18012004>eq);
<FONT face=Arial color=#0000ff 
size=2>dr=heq-leq;
<FONT face=Arial 
color=#0000ff 
size=2>--------------------------------------------------------<FONT 
size=1>

<TABLE  cellSpacing=0 
cellPadding=0 width=547 border=0 x:str>
  
  
  <COL  
  width=99>
  <COL 
   
  span=2 width=0>
  
  
  
  
    <TD 
     
    width=64 height=17>Ticker
    <TD 
     
    width=99>Date/Time
    <TD 
     
    width=64>Buy
    <TD 
     
    width=64>Sell
    <TD 
     
    width=64>equity
    <TD 
     
    width=64>heq
    <TD 
     
    width=64>leq
    <TD 
     
    width=64>Dr
  
    <TD 
     
    height=17>ALL
    <TD class=xl22 
     
    align=right x:num="36587">2/03/2000
    <TD 
     
    align=right x:num>0
    <TD 
     
    align=right x:num>1
    <TD 
     
    align=right x:num="148048.23">148048.2
    <TD 
     
    align=right x:num="174174.17">174174.2
    <TD 
     
    align=right x:num="148048.23">148048.2
    <TD 
     
    align=right x:num>26125.94
  
    <TD class=xl23 
     
    height=17>ALL
    <TD class=xl24 
     
    align=right x:num="36592">7/03/2000
    <TD class=xl23 
     
    align=right x:num>0
    <TD class=xl23 
     
    align=right x:num>1
    <TD class=xl23 
     
    align=right x:num="143956.66">143956.7
    <TD class=xl23 
     
    align=right x:num="174174.17">174174.2
    <TD class=xl23 
     
    align=right x:num="143956.66">143956.7
    <TD class=xl23 
     
    align=right x:num="30217.52">30217.52
  
    <TD 
     
    height=17>ALL
    <TD class=xl22 
     
    align=right x:num="36598">13/03/2000
    <TD 
     
    align=right x:num>0
    <TD 
     
    align=right x:num>1
    <TD 
     
    align=right x:num="143956.66">143956.7
    <TD 
     
    align=right x:num="174174.17">174174.2
    <TD 
     
    align=right x:num="143956.66">143956.7
    <TD 
     
    align=right x:num="30217.52">30217.52
  
    <TD 
     
    height=17>ALL
    <TD class=xl22 
     
    align=right x:num="36612">27/03/2000
    <TD 
     
    align=right x:num>0
    <TD 
     
    align=right x:num>1
    <TD 
     
    align=right x:num="143956.66">143956.7
    <TD 
     
    align=right x:num="174174.17">174174.2
    <TD 
     
    align=right x:num="143956.66">143956.7
    <TD 
     
    align=right x:num="30217.52">30217.52
  
    <TD 
     
    height=17>ALL
    <TD class=xl22 
     
    align=right x:num="36650">4/05/2000
    <TD 
     
    align=right x:num>0
    <TD 
     
    align=right x:num>1
    <TD 
     
    align=right x:num="143956.66">143956.7
    <TD 
     
    align=right x:num="174174.17">174174.2
    <TD 
     
    align=right x:num="143956.66">143956.7
    <TD 
     
    align=right x:num="30217.52">30217.52
  
    <TD 
     
    height=17>ALL
    <TD class=xl22 
     
    align=right x:num="36679">2/06/2000
    <TD 
     
    align=right x:num>0
    <TD 
     
    align=right x:num>1
    <TD 
     
    align=right x:num="143956.66">143956.7
    <TD 
     
    align=right x:num="174174.17">174174.2
    <TD 
     
    align=right x:num="143956.66">143956.7
    <TD 
     
    align=right x:num="30217.52">30217.52
  
    <TD 
     
    height=17>ALL
    <TD class=xl22 
     
    align=right x:num="36699">22/06/2000
    <TD 
     
    align=right x:num>1
    <TD 
     
    align=right x:num>0
    <TD 
     
    align=right x:num="143956.66">143956.7
    <TD 
     
    align=right x:num="143956.66">143956.7
    <TD 
     
    align=right x:num="143956.66">143956.7
    <TD 
     
    align=right x:num>0
  
    <TD 
     
    height=17>ALL
    <TD class=xl22 
     
    align=right x:num="36710">3/07/2000
    <TD 
     
    align=right x:num>1
    <TD 
     
    align=right x:num>0
    <TD 
     
    align=right x:num="144272.95">144273
    <TD 
     
    align=right x:num="144272.95">144273
    <TD 
     
    align=right x:num="144272.95">144273
    <TD 
     
    align=right x:num><FONT face=Arial 
size=2>0
<FONT face=Arial color=#0000ff 
size=2> 
The 
lowest drawdown in the trade list is indeed 30127.52.  However, you all 
know that backtester takes the first sell signal and ignore the rest. 

the 
correct max drawdown backtester should report should be identical if we instead 
you the following

<SPAN 
class=836523104-18012004>------------------------------------------------------
<SPAN 
class=836523104-18012004> 
<FONT 
color=#0000ff>Filter=Buy OR 
Sell;
<FONT 
size=2>eq=Equity(<SPAN 
class=836523104-18012004>1);<SPAN 
class=836523104-18012004> //this change should reflect 
backtester
<SPAN 
class=836523104-18012004>heq=HighestSince(Buy,eq);<FONT 
size=1>
<SPAN 
class=836523104-18012004>leq=LowestSince(Buy,<SPAN 
class=836523104-18012004>eq);
<FONT face=Arial color=#0000ff 
size=2>dr=heq-leq;
<FONT face=Arial 
color=#0000ff 
size=2>--------------------------------------------------------
<FONT face=Arial color=#0000ff 
size=2> 

<TABLE  cellSpacing=0 
cellPadding=0 width=547 border=0 x:str>
  
  
  <COL  
  width=99>
  <COL 
   
  span=2 width=0>
  
  
  
  
    <TD 
     
    width=64 height=17>Ticker
    <TD 
     
    width=99>Date/Time
    <TD 
     
    width=64>Buy
    <TD 
     
    width=64>Sell
    <TD 
     
    width=64>equity
    <TD 
     
    width=64>heq
    <TD 
     
    width=64>leq
    <TD 
     
    width=64>Dr
  
    <TD class=xl25 
     
    height=17>ALL
    <TD class=xl26 
     
    align=right x:num="36587">2/03/2000
    <TD class=xl25 
     
    align=right x:num>0
    <TD class=xl25 
     
    align=right x:num>1
    <TD class=xl25 
     
    align=right x:num="148048.23">148048.2
    <TD class=xl25 
     
    align=right x:num="174174.17">174174.2
    <TD class=xl25 
     
    align=right x:num="148048.23">148048.2
    <TD class=xl25 
     
    align=right x:num><FONT 
size=2>26125.94<SPAN 
class=836523104-18012004><FONT face=Arial color=#0000ff 
size=2>
 <FONT 
size=1>
<SPAN 
class=836523104-18012004><FONT 
face=Tahoma><FONT face=Arial 
color=#0000ff>As far as I know, the max draw down should be 26,125.94 
instead of 30,217.52 as the backtester should have sold at the 
first sell signal. 
<FONT 
face=Arial color=#0000ff>Am I correct or I have missed something? 
Can somebody shed some light on this?
<SPAN 
class=836523104-18012004> 
<SPAN 
class=836523104-18012004>Paul.
<SPAN 
class=836523104-18012004><FONT 
size=2> 
<SPAN 
class=836523104-18012004> 
<SPAN 
class=836523104-18012004> 
<SPAN 
class=836523104-18012004> 
<SPAN 
class=836523104-18012004> 
<SPAN 
class=836523104-18012004> -----Original Message-----From: 
Herman vandenBergen [mailto:psytek@xxxxxxxx] Sent: Sunday, 18 January 
2004 1:19 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: 
[amibroker] Max Trade drawdown

  <FONT face=Arial color=#0000ff 
  size=2>You could have a look at your trade profits, I like to plot 
  with something like this (not verified):
  <FONT face=Arial color=#0000ff 
  size=2> 
  <FONT 
  color=#ff0000>Buy=<FONT 
  color=#0000ff>Cross( <FONT 
  color=#0000ff>MACD(), <FONT 
  color=#0000ff>Signal<FONT 
  color=#000000>() ); Sell<FONT 
  color=#000000> = Cross( 
  Signal(), <FONT 
  color=#0000ff>MACD<FONT 
  color=#000000>() ); Short<FONT 
  color=#000000> = <FONT 
  color=#ff0000>Sell<FONT 
  face=Arial>; <FONT 
  color=#ff0000>Cover = <FONT 
  color=#ff0000>Buy<FONT 
  face=Arial>; E=<FONT 
  color=#0000ff>Equity(<FONT 
  color=#ff00ff>0<FONT 
  color=#000000>); LongProfit = IIf<FONT 
  color=#000000>(Ref<FONT 
  color=#000000>(Sell<FONT 
  color=#000000>,-1),E - 
  ValueWhen(<FONT 
  color=#0000ff>Ref(<FONT 
  color=#ff0000>Buy,-<FONT 
  color=#ff00ff>1),E),<FONT 
  color=#ff00ff>0)/<FONT 
  color=#0000ff>ValueWhen(<FONT 
  color=#0000ff>Ref(<FONT 
  color=#ff0000>Buy,-<FONT 
  color=#ff00ff>1),E)*<FONT 
  color=#ff00ff>100<FONT 
  color=#000000>; ShortProfit = IIf<FONT 
  color=#000000>(Ref<FONT 
  color=#000000>(Cover<FONT 
  color=#000000>,-1<FONT 
  color=#000000>),E-ValueWhen<FONT 
  color=#000000>(Ref<FONT 
  color=#000000>(Short<FONT 
  color=#000000>,-1<FONT 
  color=#000000>),E),0<FONT 
  color=#000000>)/ValueWhen<FONT 
  color=#000000>(Ref<FONT 
  color=#000000>(Short<FONT 
  color=#000000>,-1<FONT 
  color=#000000>),E)*100<FONT 
  size=2>; LowestLongProfit = 
  LastValue(<FONT 
  color=#0000ff>Lowest<FONT 
  color=#000000>(LongProfit)); LowestShortProfit = <FONT 
  color=#0000ff>LastValue(<FONT 
  color=#0000ff>Lowest<FONT 
  color=#000000>(ShortProfit)); Plot<FONT 
  color=#000000>(LongProfit,"LongProfit"<FONT 
  color=#000000>,5<FONT 
  color=#000000>,<FONT 
  color=#ff0000>styleArea<FONT 
  face=Arial>); <FONT 
  color=#0000ff>PlotShapes<FONT 
  color=#000000>((LowestLongProfit==LongProfit)*<FONT 
  color=#ff0000>shapeUpArrow,<FONT 
  color=#ff0000>colorGreen<FONT 
  face=Arial>); <FONT 
  color=#0000ff>Plot(ShortProfit,<FONT 
  color=#ff00ff>"ShortProfit",<FONT 
  color=#ff00ff>4,<FONT 
  color=#ff0000>styleArea<FONT 
  face=Arial>); <FONT 
  color=#0000ff>PlotShapes<FONT 
  color=#000000>((LowestShortProfit==ShortProfit)*<FONT 
  color=#ff0000>shapeDownArrow,<FONT 
  color=#ff0000>colorRed<FONT 
  face=Arial>); <FONT 
  color=#ff0000>GraphXSpace = <FONT 
  color=#ff00ff>5 
  <FONT face=Arial color=#ff00ff 
  size=2> 
  <FONT face=Arial color=#0000ff 
  size=2>Good luck,
  <FONT face=Arial color=#0000ff 
  size=2>herman
  
    <FONT face=Arial 
    size=2>-----Original Message-----From: Paul Ho 
    [mailto:paultsho@xxxxxxxxxxxx]Sent: January 18, 2004 9:23 
    AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] 
    Max Trade drawdown
    <SPAN 
    class=292511801-18012004>Hi,
    I have a very 
    simple question which i dont seem to be able to find answers 
    for
    How do I 
    identify the trade that cause the max trade drawdown in the backtesting 
    report (portfolio test). I tried using the 
    the MFE & 
    the MAE e.g
    <SPAN 
    class=292511801-18012004>Drawdown=IF(loser, (MFE-MAE)*position);  but 
    none of the trade matches.
    Thanks in 
    advance.
    <SPAN 
    class=292511801-18012004>Paul.<FONT 
    face=Arial size=2>Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS 
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