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Review the drawdown results in dollars (it is accurate) and overlay it on
any denominator you choose. It is possible to allocate $10,000 to each of
50 markets to total $500,000 (as long as each loses less than $10,000----it
won't let you lose >100%).
The underwater curve in % is still misleading because it calculates the %
drawdown based on the then current total equity. If you trade a constant
size for research purposes (as do most of us) it should be based on the
initial equity not the accumulated equity.
Jim
-----Original Message-----
From: Andy Dunn <andy@xxxxxxxx>
To: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
Date: Friday, December 18, 1998 9:44 PM
Subject: Portfolio Maximizer Question on underwater curve of .PER
>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
>
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