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Hello,
Please send a screenshot of PORTFOLIO equity with
"Show Cash" turned ON (via "PARAMETERS" dialog).
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "bilbo0211" <bilbod@xxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, March 09, 2005 5:19 PM
Subject: [amibroker] Re: Statistical Report problem?
>
>
> Hi Tomasz,
>
>>> a) single trade may not use 100% of portfolio equity (depending on
> position sizing scheme used)... <<
>
> This system was trading QQQQ and 100% of portfolio equity was used in
> each trade. Volume is not an issue here because the QQQQ's volume is
> in the 10's of millions and the maximum number of shares traded was
> 4,414.25. In this case cash is effectively zero and the interest rate
> is set to zero as well.
>
> That means the equity in every trade is the portfolio equity.
>
> I studied the equity curve VERY carefully. There is no drawdown
> anywhere near the Max. trade drawdown. The largest drawdown is the
> Max. system drawdown.
>
> Here are the numbers from the report:
>
> Max. trade drawdown -31494.28
> Max. trade % drawdown -30.51 %
> Max. system drawdown -20433.87
> Max. system % drawdown -15.47 %
>
> Given the situation I have described, I don't see how a single trade
> drawdown can exceed the system drawdown. The numbers just don't make
> sense to me.
>
> Bill
>
>
>
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
>
> Yahoo! Groups Links
>
>
>
>
>
>
>
>
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