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> -----Message d'origine-----
> De : Alex [mailto:fsx247@xxxxxxxxx]
> Envoye : mardi 26 juin 2001 19:41
> A : Omega-list@xxxxxxxxxx
> Objet : Historical backtesting pitfalls (e.g. adjust the historical
> drawdown to the current price level etc)
>
>
> Phil/Pierre/anyone:
>
> You mentioned that prominent vendors (RINA and
> Traderclub.com) provide backtest results the wrong
> way. Is it possible to elaborate on those pitfalls,
> preferrably by giving examples for the aforementioned
> cases?
>
> Pierre, how exactly do you "adjust the historical
> drawdown to the current price level" ?
>
> Thank you in advance, Alex.
>
>
This is very simple:
I check the maximum price value ( Pr_0)in the range where the historical
MaxDD occured (MD0)
The new maxdd(t) used will be :
if Currentprice > Pr_0 then
maxdd(t) = MDO * Currentprice / Pr_0
else
maxdd(t)= MD0
This option will be added to the next Safir X version ( optional , of
course) and reflect on all the concerned performance summary fields.
Sincerely,
Pierre Orphelin
www.sirtrade.com
TradeStation Technologies representative in France
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