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You'll need High and Low since beginning of trade and keep in mind
that DD's are a measure of the equity curve not of one and only one
trade.
So for example if I buy a stock at 10 and it goes to 20 and I sell it
at 15, then I buy another stock at 15 at it goes straight to 10 then
Here's the equity picture
Bought 100 @ 10 = Equity of 1000
Have 100 @ 20 = Equity of 2000 (Max)
Sold 100 @ 15 = Equity of 1500
Bought 100 @ 15 = Equity of 1500
Sold 100 @ 10 = Equity of 1000 (Future Min)
DD = Max (2000) - Future Min (1000) / Max (2000) = 50%.
DD's should be calculated based on ACCOUNT value which of course
would include any cash you were holding in addition to whatever
securities you were holding.
--- In amibroker@xxxxxxxxxxxxxxx, "amiabilityy" <amiabilityy@xxxx>
wrote:
> Fred.
> I will add it soon as i could use lowest since the buy when
there
> was a sell.
>
> peter.
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > 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
> > > > > > (Web page:
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> > > > > >
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