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How is drawdown worked out.
when compared to looking at the percentage gain or loss in the AA
column it may say %-44 as the largest loss but state %-90 in the
report.
peter.
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> Do we really have to read beyond the 99% DD ?
>
> --- In amibroker@xxxxxxxxxxxxxxx, "amiabilityy" <amiabilityy@xxxx>
> wrote:
> > oops posted it with the wrong commision setting, this is the
> correct
> > results.
> >
> > Heres some unrealistic results, notice just the maximum of 1 bar
in
> > each trade?
> >
> > this does not look forward,
> >
> >
> > Settings
> >
> > Initial Equity: 10000 Periodicity/Positions: Daily/Long
> > Commissions: 0.50 % Annual interest rate: 0.00%
> > Range: All quotations Apply to: Filter
> > Include Filter Exclude Filter
> > Market Market 2 Market -
> > Group - Group -
> > Sector - Sector -
> > Industry - Industry -
> > Watch list - Watch list -
> > Index - Index -
> > Favourite - Favourite -
> > Margin requirement: 100 Futures mode: No
> > Def. round lot size: 0 Def. Tick Size 0
> > Drawdowns based on: Open prices
> > Long trades
> > Buy price: Open Sell price: Close
> > Buy delay: 1 Sell delay: 1
> > Short trades
> > Short price: Open Cover price: Close
> > Short delay: 0 Cover delay: 0
> > Stops
> > Maximum loss: disabled Profit target: disabled
> > Value: 10.00 Value: 0.00
> > Exit at stop? no Exit at stop? no
> >
> > Trailing stop: disabled
> > Value: 5.00
> > Exit at stop? no
> >
> > Overall performance summary
> >
> > Total net profit: 435386029962461.50 Total commissions paid:
> > 570998413641967.50
> > Return on account: 435386029962.46 % Open position gain/loss
> 0.00
> > Buy&Hold profit: 4778993.31 Bars (avg. days) in test: 3886
(2826)
> > Buy&Hold % return: 4778.99% System to Buy&Hold index:
> > 9110412936.82%
> >
> > Annual system % return: 1657.66% Annual B&H % return: 65.22%
> >
> > System drawdown: -6916.21 B&H drawdown: -9819.37
> > Max. system drawdown: -1461830900834455.20 B&H max. drawdown: -
> > 9551217.27
> > Max. system % drawdown: -99.03% B&H max. % drawdown: -99.50%
> > Max. trade drawdown: 0.00
> > Max. trade % drawdown: 0.00%
> > Trade drawdown: 0.00
> >
> > Total number of trades: 3876 Percent profitable: 42.0%
> > Number winning trades: 1629 Number losing trades: 2247
> > Profit of winners: 2836135265110655.50 Loss of losers: -
> > 2400749235148194.00
> > Total # of bars in winners: 1629 Total # of bars in losers:
2247
> > Commissions paid in winners: 167088279661509.94 Commissions
paid
> in
> > losers: 403910133980457.62
> >
> > Largest winning trade: 943794204576510.87 Largest losing
trade: -
> > 218430396946340.06
> > # of bars in largest winner: 1 # bars in largest loser: 1
> > Commission paid in largest winner: 10920364853326.89 Commission
> > paid in largest loser: 8545321687191.45
> >
> > Average winning trade: 1741028400927.35 Average losing trade: -
> > 1068424225700.13
> > Avg. # of bars in winners: 1.0 Avg. # bars in losers: 1.0
> > Avg. commission paid in winner: 102571074070.91 Avg. commission
> > paid in loser: 179755288820.85
> > Max consec. winners: 17 Max consec. losers: 17
> >
> > Bars out of the market: 20 Interest earned: 0.00
> >
> > Exposure: 99.5% Risk adjusted ann. return: 1666.24%
> > Ratio avg win/avg loss: 1.63 Avg. trade (win & loss):
> > 112328697100.74
> > Profit factor: 1.18
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