Thank you, Eugene. This looks quite simple, but interesting. Especially the summation of all trade drawdowns is new to me. On the other hand, the sandard deviations of the returns and the number of trades is irrelevant for APD. These are, among the returns, the cornerstones of PI. The best thing would be to have a combination of these two measurements. What do you think? What concerns my drawdown code: Today at 14:30 exchange time I had a ES short trade @1696.5 and the maximum adverse movement, taken from the IB bid/ask chart was @1697, that means 0.5 points. This would correspond to a drawdown of about $25, but $50 was shown. However, some time ago I could verify that the IB charts are not always correct (i.e. Bloomberg trades were not shown on the chart), and it is well possible that a price @1697.5 was feeded once to JBookTrader, which subsequently was not shown on the IB chart. The long trade earlier this day at 10:34 showed a drawdown of $88, and when consulting the IB chart, it should be $75, because the maximum adverse movement was at $1.5. but this again could be a problem with IB charts. Anyway please take a close look at my code.
-- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To unsubscribe from this group and stop receiving emails from it, send an email to [email protected]. To post to this group, send email to [email protected]. Visit this group at http://groups.google.com/group/jbooktrader. For more options, visit https://groups.google.com/groups/opt_out.
