 Posted 8/18/2010 04:47:49
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Any chance of modifying the simulation drawdown calculation to base it off the bar-low/high for long/short positions?
I think it currently uses the bar closing price which gives an understated dd.
- an extreme example ... a mean reversion strategy working off 1 hour bars enters an ES long position on 5/6/10 2:00pm @ 1142 , the bar close is 1112 , the bar low is 1056.
robert
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Posted 8/18/2010 07:48:43
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It uses the account value at a given point in time, not necessarily the bar close, so perhaps we could update or modify the system statistics on a tick basis in the simulation. Are you creating ticks from bars by chance?
tickbytick (8/18/2010)
Any chance of modifying the simulation drawdown calculation to base it off the bar-low/high for long/short positions?
I think it currently uses the bar closing price which gives an understated dd.
- an extreme example ... a mean reversion strategy working off 1 hour bars enters an ES long position on 5/6/10 2:00pm @ 1142 , the bar close is 1112 , the bar low is 1056.
robert
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Posted 8/19/2010 00:18:33
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So if I'm understanding you correctly, I need to set CreateTicksFrombars = true and then I'll be able to update the stats within NewTick. Can you help me out with the code snippet I need within NewTick to do this? tia.
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Posted 8/19/2010 07:26:20
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Sorry I wasn't clear. We would have to make a code change on our end in the statistics class. It's taking a snapshot of the account value at the close. We would need to modify this for it to work as you'd like it to. But after we make that change, you'd need to create ticks from bars to have the O,H,L,C events trigger a recalculation.
tickbytick (8/19/2010)
So if I'm understanding you correctly, I need to set CreateTicksFrombars = true and then I'll be able to update the stats within NewTick. Can you help me out with the code snippet I need within NewTick to do this? tia.
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Posted 8/20/2010 04:05:00
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ah ok. Well if you can implement that it sounds like it will solve the problem. Thanks
Robert
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Posted 5/1/2011 12:56:54
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Has the change mentioned above been implemented in build 34?
Thanks, Duane
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Posted 5/1/2011 17:51:44
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dwebber (5/1/2011)
Has the change mentioned above been implemented in build 34?
Thanks, Duane
No, it hasn't.
Thanks,
Daniel
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Posted 5/1/2011 21:15:22
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Is the drawdown calculated on the close of intraday bars if the system is running on a daily frequency? For example, the close of hourly bars when running a daily simulation.
Thanks, Duane
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Posted 5/4/2011 12:49:09
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It is calculated on whatever the "System Frequency" is set to in the trading system properties.
Thanks,
Daniel
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