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That's correct. The EXIT date counts because only at EXIT you
know whenever trade is losing or gaining. So 3 consecutive trades
by exit date.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Ron Rowland" <rowland@xxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, July 20, 2007 4:34 PM
Subject: [amibroker] Re: Drawdown on Backtest
>I believe (but am not 100% sure) that "consecutive trades" are
> determined by the trade exit date, not the entry date. Are you sure
> that your 3 losing trades were not consecutive? It appears from the
> report that the losing short trade and the two losing long trades
> were consecutive. How many positions did you have open at one time?
>
> Since your system had a 96% drawdown, I would not be surprised that
> your 3 losing trades were not consecutive. Due to the compounding
> nature of your system, it might be better to look at percentage
> losses instead of dollar or point losses. Your average loss was 275%
> and one trade lost 465%. The fact that you achieved this with only
> 0.2% exposure on the long side suggests that you are using leverage
> that is beyond my comprehension.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "professor77747" <professor@xxx>
> wrote:
>>
>> I have backtested my formula for 18 months. It is all the data that
> I
>> have. The results show a Max. trade drawdown of -11400 and a Max.
>> system drawdown of -10830. However, the largest loss was 920 with
> the
>> most consecutive losses of 3.
>>
>> When I look at the list of trades, I never had 3 consecutive
> losses.
>> I only had 3 total losses. The total loss on these 3 losing trades
>> was 1100.
>>
>> I must not understand exactly what is the definition of these
> terms.
>> Can someone explain them to me.
>>
>> Here are the statistics of my backtest.
>>
>> Statistics | Charts | Trades | Formula | Settings | Symbols
>>
>> Statistics
>> All trades Long trades Short trades
>> Initial capital 5000.00 5000.00 5000.00
>> Ending capital 28210.00 20070.00 13140.00
>> Net Profit 23210.00 15070.00 8140.00
>> Net Profit % 464.20 % 301.40 % 162.80 %
>> Exposure % 38.40 % 0.21 % 38.20 %
>> Net Risk Adjusted Return % 1208.74 % 146527.80 % 426.20 %
>> Annual Return % 204.00 % 144.27 % 86.06 %
>> Risk Adjusted Return % 531.20 % 70135.74 % 225.30 %
>>
>> --------------------------------------------------------------------
> --
>> ----------
>>
>> All trades 14 7 (50.00 %) 7 (50.00 %)
>> Avg. Profit/Loss 1657.86 2152.86 1162.86
>> Avg. Profit/Loss % 1657.86 % 2152.86 % 1162.86 %
>> Avg. Bars Held 27.71 24.14 31.29
>>
>> --------------------------------------------------------------------
> --
>> ----------
>>
>> Winners 10 (71.43 %) 5 (35.71 %) 5 (35.71 %)
>> Total Profit 24310.00 16000.00 8310.00
>> Avg. Profit 2431.00 3200.00 1662.00
>> Avg. Profit % 2431.00 % 3200.00 % 1662.00 %
>> Avg. Bars Held 27.20 23.00 31.40
>> Max. Consecutive 5 3 3
>> Largest win 4950.00 4950.00 3590.00
>> # bars in largest win 23 23 47
>>
>> --------------------------------------------------------------------
> --
>> ----------
>>
>> Losers 4 (28.57 %) 2 (14.29 %) 2 (14.29 %)
>> Total Loss -1100.00 -930.00 -170.00
>> Avg. Loss -275.00 -465.00 -85.00
>> Avg. Loss % -275.00 % -465.00 % -85.00 %
>> Avg. Bars Held 29.00 27.00 31.00
>> Max. Consecutive 3 2 1
>> Largest loss -920.00 -920.00 -170.00
>> # bars in largest loss 49 49 30
>>
>> --------------------------------------------------------------------
> --
>> ----------
>>
>> Max. trade drawdown -11400.00 -8020.00 -11400.00
>> Max. trade % drawdown -92.19 % -90.32 % -92.19 %
>> Max. system drawdown -10830.00 -10680.00 -12570.00
>> Max. system % drawdown -96.25 % -56.36 % -91.72 %
>> Recovery Factor 2.14 1.41 0.65
>> CAR/MaxDD 2.12 2.56 0.94
>> RAR/MaxDD 5.52 1244.45 2.46
>> Profit Factor 22.10 17.20 48.88
>> Payoff Ratio 8.84 6.88 19.55
>> Standard Error 2983.36 1902.76 2317.60
>> Risk-Reward Ratio 5.33 4.98 2.77
>> Ulcer Index 23.58 18.82 36.34
>> Ulcer Performance Index 8.42 7.38 2.22
>> Sharpe Ratio of trades 2.59 3.15 2.22
>> K-Ratio 0.1213 0.1135 0.0630
>>
>> Thanks,
>> Tom
>>
>
>
>
>
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