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Hello,
I forgot to mention one very important reason for the difference:
- portfolio-level equity and drawdown are calculated at the market CLOSE
(i.e. drawdown represents the peak-valley distance on portfolio-level
equity calculated at CLOSE only.)
Portfolio-level equity and drawdown does not include intraday (or intrabar) H-L activity.
(for obvious reasons: on various securities Highs and Lows occur at different
times during the day)
Trade drawdown (as well as MAE and MFE) is different because it *includes* intraday activity (H-L)
For that reason if you are testing on portfolio consisting of single security
trade drawdown may be higher than system drawdown because of that.
Old backtester is different case because it is single-security backtester
and you can force it to use High-Low range into calculation or other price (open or close)
because it does not need to care about relationship between different securities.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Tomasz Janeczko" <amibroker@xxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, March 09, 2005 9:53 PM
Subject: Re: [amibroker] Re: Statistical Report problem?
>
> Hello,
>
> Thank you for the screenshots but I meant to send to support.
> I was only interested in seeing the cash chart so one screenshot
> was absolutely enough.
>
> There is probably something wrong with the settings you use.
>
> If you want me to check this out in detail please send (to support):
> a) the formula you are using
> b) settings file (go to AA->Settings page and click "SAVE" button to generate .ABS (settings) file)
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "bilbod" <bilbod@xxxxxxxxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Wednesday, March 09, 2005 9:27 PM
> Subject: [amibroker] Re: Statistical Report problem?
>
>
>> Hi Tomasz,
>>
>> >> Please send a screenshot of PORTFOLIO equity with "Show Cash"
>> turned ON (via "PARAMETERS" dialog). <<
>>
>> Attached are 10 .png files showing the entire daily equity curve. I put
>> the cursor on the maximum drawdown for each screen so you can see the
>> drawdown numbers. The equity curve goes back to 1999, the only way it
>> would fit on one screen is using a monthly chart and that masks the true
>> size of drawdowns.
>>
>> I also noticed an old backtester and ran that. Most numbers are close to
>> the current results except for the max trade drawdown. It is less than
>> the max system drawdown and in line with what I would expect.
>>
>> 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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