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There are also no open trades at the end of the month. All trades are closed.
--- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@xxx> wrote:
>
> 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@> 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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