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DD's can unfortunately NOT be computed without knowing where prices
went while the trade was open.
Example: You buy a stock at 50 and you sell it at 100, looks like
there's no drawdown just a nice 100% gain right ? ... but in between
where you bought it at 50 and sold it at 100 it went to 200 ...
drawdown = 200 (Max Equity) - 100 (Final Equity) / 200 (Max Equity) =
50% !!!
--- In amibroker@xxxxxxxxxxxxxxx, "amiabilityy" <amiabilityy@xxxx>
wrote:
> Hi fred,
>
> It still needs some work,
>
> At the moment it it only contains
>
> START DATE END DATE FINAL EQUITY PER OF WINTRADES
> MAXLOSSTRADE MAXWINTRADE
>
>
> The data is only the data from an exploration, so it does not
> contain the data of e.g.
> if there a are 200 different tickers in the sheet it would not
have
> the whole history of all these 200 tickers,
> It only contains the data of the buy day and sell day,( the data
> needed to calculate the profits, the rank data, buy and sell dates).
> The buy and sell data of a completed trade of a ticker, from the
ami
> exploration is in 1 row.
>
> wouldnt the draw down be able to be worked out from the profit and
> loss results, as it is testing multiple tickers which is basically
> like testing 1 ticker.
>
>
>
> 2) The overlapping dates is handled correctly,
>
> the buy date is sorted first in descending order, and the rank
> value
> is the second sort order, so if 20 different tickers buydates
fall
> on the same day ,then the ticker on the day with the highest
ranking
> will be the first selection.
> The rank is in ascending order.
>
>
> the highest rank is kept in sheet 1,
> the next ticker to be kept on sheet 1 will need a buydate that is
> greater than the previous sell date.
>
>
> So The the rank value will be used as the first choice if there
are
> more than 1 ticker with the same buydate.
> Then by comparing the buy date to the previous rows sell date,
> If the buy date is less than or equal to the previous tickers
sell
> date , it will be placed on a new sheet.
>
> The first sheet now contains no overlapping dates.
>
> This is repeated for the other sheets.
>
>
> I would need to add code to control the amount traded.
> At the moment it compounds, but will stop trading, when the equity
> of the last trade was around $1000.00
> I was also thinking of using a percentage of the volume*close of
> the previous day as a maximum value to trade if the equity was >
than
> that value.
>
>
>
> Peter.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > A few statements and / or questions with regards to DYNAPORT.
> >
> > 1. Does it have available to it all price history of what ever
the
> > trades were without which DrawDowns can NOT be calculated.
> >
> > 2. Does it properly handle overlapping trades ?
> >
> > 3. How does i keep one from being > 100% invested ?
> >
> > etc. etc. ...
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "amiabilityy"
<amiabilityy@xxxx>
> > wrote:
> > > Ken
> > > if you have excel , try the DYNAPORT.ZIP file i uploaded.
> > >
> > >
> > > Peter.
> > >
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx>
> wrote:
> > > > Fred: does your message mean that a "system" that buys and
> sells
> > > say,
> > > > the top ranked stock when a buy signal is issued (the Buy
logic
> > > being
> > > > different than the score logic).....that such a system can be
> > > BACKTESTED
> > > > using this ABTool? Is that what you are saying?
> > > >
> > > > Ken
> > > >
> > > > -----Original Message-----
> > > > From: Fred [mailto:fctonetti@x...]
> > > > Sent: Monday, May 05, 2003 9:17 PM
> > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > Subject: [amibroker] Re: ABtool v0.0.5 beta - What is this t
> hing?
> > > >
> > > > nand,
> > > >
> > > > From my limited knowledge and experience ABTool appears to
> allow
> > > > writing to a file almost anything anyone could want which
could
> > be
> > > > used for example to "score" an entire WatchList bar by bar as
> to
> > > the
> > > > liklihood of some particular symbol being a better buy at
some
> > bar
> > > > then another over the entire lenght of their history. This
> file
> > > > could then be sorted and "ranked" if you will and used as the
> > > driving
> > > > force for trading or testing a portfolio trading system.
> > > > Additionally there are new table functions in the latest
> release
> > > > which again from my limited knowledge would although they
would
> > be
> > > > faster because they are in memory as opposed to writing to
disk
> > > they
> > > > may also be limited in scope to dealing with the current
stock
> as
> > > > opposed to the entire watchlist. I hope this limited
> description
> > > > helps somewhat.
> > > >
> > > > Best Regards, Fred
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "nkis22" <nkishor@xxxx>
wrote:
> > > > > Can someone please tell me what is this ABTool and
> > > > > what does it do?
> > > > >
> > > > > thanks
> > > > > nand
> > > >
> > > >
> > > >
> > > > Send BUG REPORTS to bugs@xxxx
> > > > Send SUGGESTIONS to suggest@xxxx
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> amiquote@xxxxxxxxxxxxxxx
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