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<FONT face=Arial color=#0000ff
size=2>Tomasz,
I used
the New backtester. The code that I posted wasn't correct, as draw down
can only occur when the peak preceded the valley. Tried the following was a
little better
<FONT face=Arial color=#0000ff
size=2>----------------------------------------
in_trade=Flip(Buy,Sell);
Filter=1;
Heq=HighestSince(Buy,E);
<FONT face=Arial color=#0000ff
size=2>Hq=HighestSinceBars(Buy,E)==0;
Leq=LowestSince(in_trade AND
Hq,E);
<FONT face=Arial color=#0000ff
size=2>b1=HighestSinceBars(Buy,E);
b2=LowestSinceBars(in_trade AND Hq,
E);
dr=(Heq-Leq)/Heq*100; */
<FONT face=Arial color=#0000ff
size=2>-----------------------------------------
Also
realised that if sell/cover was set at 1 day delay, may cause the problem. still
checking.
<FONT face=Arial color=#0000ff
size=2>Anyway, the takeaway was that my drawdown was caused by inability to take
profit rather than cutting losses so that gives me something to work
on.
<FONT face=Arial color=#0000ff
size=2>/Paul.
<FONT
face=Tahoma size=2>-----Original Message-----From: Tomasz Janeczko
[mailto:amibroker@xxxxxx] Sent: Sunday, 18 January 2004 9:49
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Max Trade drawdown
Paul,
Do you use "OLD" or "NEW" backtester? There are differences how those
two calculate drawdowns
By default old backtester calculates it using High-Low range and this
gives bigger drawdown then
checking only 'close' price (as your calculations do).
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Paul
Ho
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, January 18, 2004 6:00
AM
Subject: RE: [amibroker] Max Trade
drawdown
<SPAN
class=836523104-18012004>Thank you Hermand and Dave, but I dont think that
would give me drawdown.
<SPAN
class=836523104-18012004>Max drawdown is defined by the largest peak to
valley decline experienced in any single trade.
<SPAN
class=836523104-18012004>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"><FONT face=Arial
size=2>148048.2
<TD
align=right x:num="174174.17"><FONT face=Arial
size=2>174174.2
<TD
align=right x:num="148048.23"><FONT face=Arial
size=2>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"><FONT face=Arial
size=2>143956.7
<TD class=xl23
align=right x:num="174174.17"><FONT face=Arial
size=2>174174.2
<TD class=xl23
align=right x:num="143956.66"><FONT face=Arial
size=2>143956.7
<TD class=xl23
align=right x:num="30217.52"><FONT face=Arial
size=2>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"><FONT face=Arial
size=2>143956.7
<TD
align=right x:num="174174.17"><FONT face=Arial
size=2>174174.2
<TD
align=right x:num="143956.66"><FONT face=Arial
size=2>143956.7
<TD
align=right x:num="30217.52"><FONT face=Arial
size=2>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"><FONT face=Arial
size=2>143956.7
<TD
align=right x:num="174174.17"><FONT face=Arial
size=2>174174.2
<TD
align=right x:num="143956.66"><FONT face=Arial
size=2>143956.7
<TD
align=right x:num="30217.52"><FONT face=Arial
size=2>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"><FONT face=Arial
size=2>143956.7
<TD
align=right x:num="174174.17"><FONT face=Arial
size=2>174174.2
<TD
align=right x:num="143956.66"><FONT face=Arial
size=2>143956.7
<TD
align=right x:num="30217.52"><FONT face=Arial
size=2>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"><FONT face=Arial
size=2>143956.7
<TD
align=right x:num="174174.17"><FONT face=Arial
size=2>174174.2
<TD
align=right x:num="143956.66"><FONT face=Arial
size=2>143956.7
<TD
align=right x:num="30217.52"><FONT face=Arial
size=2>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"><FONT face=Arial
size=2>143956.7
<TD
align=right x:num="143956.66"><FONT face=Arial
size=2>143956.7
<TD
align=right x:num="143956.66"><FONT face=Arial
size=2>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>
<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.
<FONT face=Arial color=#0000ff
size=2>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
face=Arial>() ); <FONT
color=#ff0000>Sell = <FONT
color=#0000ff>Cross( <FONT
color=#0000ff>Signal(), <FONT
color=#0000ff>MACD<FONT
color=#000000>() ); <FONT
color=#ff0000>Short = <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 = <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 = <FONT
color=#0000ff>IIf(<FONT
color=#0000ff>Ref(<FONT
color=#ff0000>Cover,-<FONT
color=#ff00ff>1),E-<FONT
color=#0000ff>ValueWhen(<FONT
color=#0000ff>Ref(<FONT
color=#ff0000>Short,-<FONT
color=#ff00ff>1),E),<FONT
color=#ff00ff>0)/<FONT
color=#0000ff>ValueWhen(<FONT
color=#0000ff>Ref(<FONT
color=#ff0000>Short,-<FONT
color=#ff00ff>1),E)*<FONT
color=#ff00ff>100<FONT
color=#000000>; LowestLongProfit = <FONT
color=#0000ff>LastValue(<FONT
color=#0000ff>Lowest<FONT
face=Arial>(LongProfit)); LowestShortProfit =
LastValue<FONT
color=#000000>(Lowest<FONT
size=2>(ShortProfit));
Plot<FONT
color=#000000>(LongProfit,<FONT
color=#ff00ff>"LongProfit",<FONT
color=#ff00ff>5,<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=#000000>,<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 to
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