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<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
color=#000000>; E=Equity<FONT
color=#000000>(0<FONT
size=2>); LongProfit = <FONT
color=#0000ff>IIf(<FONT
color=#0000ff>Ref(<FONT
color=#ff0000>Sell,-<FONT
color=#ff00ff>1),E - <FONT
color=#0000ff>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
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 to
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