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Dear Ed,
Thanks for your input, your approach is interesting and worth
thinking about. Perhaps someone else could answer my exact question
too.
Thanks
Rizwan
--- In amibroker@xxxxxxxxxxxxxxx, "ed nl" <ed2000nl@xxxx> wrote:
> hi,
>
> this reply is not exactly what you intend but anyway ...
>
> my systems enter and exit using limit prices. In cases that say my
buy limit is 22 and the open price is 21.50 and the high is 22.5 my
system would buy at 21.50. As a worst case scenario I use 22 (the buy
limit price). In practice I find that usually they don't give it to
you for 21.50 but you'll have to pay more (slippage). On average
(tested in practice with the Nasdaq 100 stocks) they charge me 0.12%
extra. So instead of paying 21.50 (as my backtest will use) I end up
paying about 21.53 on average. Worst case scenario: I will pay 22$.
If the system still works it is a good sign. This is my wordt case
scenario test.
>
> ed
>
>
> ----- Original Message -----
> From: rizwankherati
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Thursday, November 25, 2004 8:16 AM
> Subject: [amibroker] Worst Case Analysis
>
>
>
> Hi,
>
> Does Amibroker allows a worst case analysis, or is this feature
> expected in the near future?
>
> The Worst-Case analysis allows to create a report that will tell
how
> the system would have done based on the start date. Software
would
> automatically select each trade in sequence making it the very
first
> trade entered. Results of each run would be saved to a row in a
> report file. The knowledge gained by examining the results of the
> system when run from 1000 different start points rather than just
1
> would be very valuable.
>
> How many times out of 1000 did it have a losing first year?
Second
> year? How many times out of 1000 did equity reach $1 million by
year
> 5? What was the average capital requirement out of 1000 starts?
What
> was the highest? How many times out of 1000 did drawdown exceed
50%?
> Answers to this type of question will let the user know with a
high
> degree of probability what to expect from the system in real
trading.
>
> Can this be done in Amibroker?
>
> Best regards
>
> Rizwan
>
>
>
>
>
> Check AmiBroker web page at:
> http://www.amibroker.com/
>
> Check group FAQ at:
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
>
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