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VAMI is required by the National Futures Assoc. for CTAs.
Check the NFA site, especially section on Rate of return.
http://www.nfa.futures.org/compliance/publications/dd99/dd4CTA_t.pdf
----- Original Message -----
From: "Anthony" <Anthony3@xxxxxxxxxxxx>
To: "Michael Berger" <mberger@xxxxxxxx>
Sent: Wednesday, July 19, 2000 11:01 PM
Subject: Re: Drawdown defined
> Hi Michael,
>
> Thanks for the reply. As for the VAMI, where exactly is this used (as I
have
> never heard of this before)? Tradestation?
>
> Thanks again.
>
> --
> Anthony
>
>
>
> Michael Berger wrote:
>
> > The drawdown is the maximum account total equity decline, before a new
> > account equity high is achieved.
> >
> > Equity & drawdown is generally tracked in terms of VAMI (value of a
thousand
> > dollar investment.) Thus an account is started with a VAMI of 1000.
Each
> > day you calculate the percentage profit/loss & adjust the VAMI. If you
> > actually start trading with 100,000 & on day 1 you make $5,000, your
VAMI at
> > the end of day 1 would be 1050, calculated as follows:
> >
> > 5000 / 100000(previous day's total equity) x 1000
previous
> > day's vami) = 50
> >
> > add/subtract result to previous days VAMI: 1000 + 50
> >
> > The first few days of trading might look as follows:
> >
> > cashin cashout gain loss total equity
> > VAMI
> > 100000 100000
> > 1000
> > day1 5000 105000
> > 1050
> > day2 2000 107000
> > 1070
> > day3 -7000 0 0 100000
> > 1070
> > day3 -7000 93000
> > 995.1
> >
> > Note in this case even though profit / loss in dollar terms were
actually
> > equal, the account shows an approximate 1/2 % decline, because the $
7,000
> > loss took place on total equity of 100,000, rather than 107,000, since
the
> > first 7,000 in profit was withdrawn from the account before the loss.
> >
> > Keep a daily VAMI, & your return will be based on performance, ignoring
> > deposits or withdrawals to the account.
> >
> > The max drawdown is also made obvious: it is the highest VAMI to the
lowest
> > VAMI that occurred after the high. The drawdown period continues until
a
> > new high VAMI is achieved.
> >
> > Regards,
> >
> > ----- Original Message -----
> > From: "Anthony" <Anthony3@xxxxxxxxxxxx>
> > To: <omega-list@xxxxxxxxxx>
> > Sent: Tuesday, July 18, 2000 10:12 PM
> > Subject: Drawdown defined
> >
> > > Hi,
> > >
> > > Can someone please tell me what the exact definition of drawdown is?
> > > I've heard several different definitions of it.
> > >
> > > Is it....
> > >
> > > 1) The maximum amount your account dips before you make a new equity
> > > high?
> > >
> > > 2) The most you lose in any given number of consecutive losing
trades?
> > >
> > > 3) Or is it something else?
> > >
> > > Thanks all.
> > >
> > > --
> > > Anthony
> > >
> > >
> > >
>
>
>
>
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