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I have experienced strange results in the system drawdown spec on the
trade report. Sometimes, it is just plain wrong, but I did not
experiment to discover why how or in what way.
I get strage results on the equity graphs as well. Just now the buy
and hold simulation was wrong! There was a position size statement
that did not match initial equity. So I added a plot statement:
close times the number of shares at the beginning of the backtest.
I'm confused as always!
--- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx> wrote:
> Hi, all:
>
> When I plot portfolio equity using the portfolio indicator builder
formula below, the max system drawdown (MDD) does not agree with the
MDD reported in the trade report. The disagreement could be many
percentage points off. To verify, run a portfolio backtest on any of
your favorite systems, then place your cursor anywhere on the graph
and scroll until you find the max DD shown in the title (it could be
early even though the DD's look small since equity in the early dates
is much smaller than the later dates). Compare with the MDD reported
in your trade report. The same is true for the Long MDD and the Short
MDD. Any ideas why this may be? Here's the formula:
>
> eq = Foreign("~~~EQUITY", "C");
> cash = Foreign("~~~EQUITY", "L");
> dr = eq - Highest(eq);
> GraphZOrder=1;
> LongEq=Foreign("~~~Equity","O");
> ShortEq=Foreign("~~~Equity","H");
> ddl=Longeq-Highest(Longeq);
> dds=Shorteq-Highest(Shorteq);
>
> GraphXSpace=1;
> Plot(eq/1000, "\nPortfolio Equity/1000", colorBlue,
styleLine|styleThick);
> Plot(dr/1000," Portfolio DD/1000 ",colorBlue,styleArea);
> Plot(100*dr/eq, " %Portfolio DD ", colorBlue, styleArea) ;
> Plot(LongEq/1000, "\nLong
Equity/1000 ",colorGreen,styleLine|styleThick);
> Plot(ddl/1000," Long Eqty DD/1000",colorGreen,styleNoLine);
> Plot(100*ddl/Longeq," %Long Eqty DD ",colorGreen,styleNoLine);
> Plot(ShortEq/1000,"\nShort
Equity/1000 ",colorRed,styleLine|styleThick);
> Plot(dds/1000," Short Eqty DD/1000",colorRed,styleNoLine);
> Plot(100*dds/Shorteq," %Short Eqty DD",colorRed,styleNoLine);
>
>
> Thanks,
>
> Al Venosa
>
>
> ---
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