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emp62 <emp62 <at> home.nl> writes:
> hi JD,
>
> I guess Tomasz needs to answer that question. Also
> the line if (dd[ bar ] < -27 ) needs to be if (dd[ bar ]
> < -10 ) instead.
>
I suspect that AB doesn't have the concept of a backtest having ad-hoc
cashflows (whether they be deposits or withdrawls).
> In the chart below you can see a system
> starting with 50000 cash where it does a monthly withdrawal of 4000$.
> Money is taken away from the system just fine but I don't know if the simple
> coding causes any problems elsewhere in the backtest. I believe for certain
> setups (if you always have plenty of cash) it will give you a good idea
> of how monthly cash withdrawals influence the performance of your
> system,
>From the chart you attached, it seems that cashflows are affecting the stats
because a withdrawl from your account is not the same thing as a drawdown. In
other words, it is not dropping due to any trading, it is just being withdrawn
and resetting the new starting point of equity (i.e., cashflow). Therefore, to
deal with it appropriately, the chart would have to know about all the cashflow
changes and appropriately mark the cashflow event (i.e., a sum of multiple
equity charts separated by cashflow events).
That kind of feature would indeed be very powerful to see true CAR% numbers at
the same time as seeing impact of salary and/or deposits into your account
(i.e., depending on if you're living off of your trading fulltime or doing it
parttime - where you can feed it from other salary).
Regards,
JD
> > Hmmm...Interesting. I wonder if the CAR
> statistics would still be right > with periodic cashflows being taken
> out..> > http://www.gummy-stuff.org/IRR.htm> > JD
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