[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Portfolio Maximizer Question on underwater curve of .PER


  • To: omega-list@xxxxxxxxxx
  • Subject: Portfolio Maximizer Question on underwater curve of .PER
  • From: "Andy Dunn" <andy@xxxxxxxx>
  • Date: Fri, 18 Dec 1998 21:43:06 -0500 (EST)

PureBytes Links

Trading Reference Links

Let's say I run a system on 50 commodities and save them each as a .psp
Each test I start with 500,000

and then I group these into a Portfolio Report

I then look at the underwater curve of the .PER and its lowest point is 2%....I am sure this is wrong

So, does Portfolio Maximizer calculate the PER underwater curve assuming that each commodity has a seperate 500,000 , rather than a SHARED 500,000?

If it does that, does that mean I can assume my drawdown would really be 2% X 50 or 100% aka wiped out??

Or is it correct at 2%...it just seems wrong when I look at the yearly totals and the loss in 98 is at least 5% of the total yet it does not look that way in the underwater.

Andy