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I should also note that this is not a case where the equity can drop inter-trade by $7k, as my stop limits are fairly narrow (like $200).
It's impossible for that kind of dip to occur on any one trade.
--- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@xxx> wrote:
>
> Hoping someone can explain how Max. Sys Drawdown is calculated in the AA
> Walk-Forward report. I used to think it was pretty straightforward. But
> recently I've compared WF and manual backtest reports and notice some
> very weird things.
>
> For example, if I do a Walk-Forward test on a trading system using a
> 1-month In-Sample, and 1-month Out-Of-Sample period, I might see
> something like the following in the report:
>
> Mode Begin End No. Net Profit Max. Sys Drawdown OOS
> 01/01/2008 01/31/2008 1 10200 -7353
>
> If I manually run a backtest on the above month (1/2008) with the same
> values for all variables that were used in the WF test, I do in fact see
> the correct Net Profit for that month as $10,200. However, the System
> Drawdown never dips below zero. It happens to be a great (theoretical)
> trading month, and starting from the first trade I am in positive
> territory. The few losing trades are small, and happen well into the
> month when I am already far into positive equity territory (e.g. drops
> from $3k cumulative profit, down to $2.5k, then climbs again).
>
> Why would the Walk-Forward backtest should a Drawdown of -$7,353 when a
> normal backtest with the exact same values shows only positive equity
> during the entire month's worth of trades?
>
> I should note that most of the Walk-Forward backtests appear to match
> with manual backtests. But there are alwasy 2 or 3 in a dozen that
> exhibit the above type of discrepancy. Since the discrepancies are huge,
> as opposed to minor, I am of course perturbed.
>
> Any input appreciated.
>
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