how to calculate max wait days?

[Anonymous]

probably sounds like a silly question but… i still have not been able to do this in excel. how to calculate max wait days?

example is in the course notes

[TrentRothall]

This is how i do it Darryl, Nick pointed me in the right direction a while ago – i think its right, might not be as accurate on long term models

1. run a backtest then sort by entry dates – paste into excel

2. add blank columns after the profit columns – insert the following formula and fill down

3. then add the following formulas in the next columns

then you can graph it, but it will be in Number of trades not days – i just went through and used the formula = DAYS() to manually look at the length of the longer ones in days.

Someone might have a better solution i couldn’t work out how to graph in days

[Nick Radge]

try this:

http://www.screencast.com/t/EASi0kaHarvJ

[Anonymous]

Nick Radge wrote:

try this:

http://www.screencast.com/t/EASi0kaHarvJ

shall do!

[Anonymous]

Trent Rothall wrote:

This is how i do it Darryl, Nick pointed me in the right direction a while ago – i think its right, might not be as accurate on long term models

1. run a backtest then sort by entry dates – paste into excel

2. add blank columns after the profit columns – insert the following formula and fill down

3. then add the following formulas in the next columns

then you can graph it, but it will be in Number of trades not days – i just went through and used the formula = DAYS() to manually look at the length of the longer ones in days.

Someone might have a better solution i couldn’t work out how to graph in days

too easy! :blink: :silly:

[TrentRothall]

Darryl Vink wrote:

too easy! :blink: :silly:

How did you go?

[Anonymous]

Trent Rothall wrote:

Darryl Vink wrote:

too easy! :blink: :silly:

How did you go?

all good trent. max wait from my MR system backtested from 01/01/2000 – 31/12/2015 was 209 days from 09/03/2004 till 04/10/2004:

[SaidBitar]

two options

the easy one and the other one

the easy one is :

Code:

SetCustomBacktestProc(“”);
if (Status(“action”) == actionPortfolio)
{
bo = GetBacktesterObject();
bo.Backtest();
Eqty = Foreign(“~~~Equity”, “C”);
MaxEq = Highest(Eqty);
FlatEq = BarsSince(MaxEq > Ref(MaxEq,-1));
MaxFlat = LastValue(Highest(FlatEq));
bo.AddCustomMetric(“Max Flat Eq Bars”, MaxFlat);
}

it will return the number of bars (calendar days) if the database is EOD.

the other option is the excel option and they will give the same results

[JulianCohen]

Said Bitar wrote:

it will return the number of bars (calendar days) if the database is EOD.

the other option is the excel option and they will give the same results

Where do you place this in the code Said? Does it matter where?

[LeeDanello]

Julian Cohen wrote:

Said Bitar wrote:

it will return the number of bars (calendar days) if the database is EOD.

the other option is the excel option and they will give the same results

Where do you place this in the code Said? Does it matter where?

Place it at the end of your system code.

It comes up as the last line in your back test report

[LeeDanello]

Said Bitar wrote:

two options

the easy one and the other one

the easy one is :

Code:

SetCustomBacktestProc(“”);
if (Status(“action”) == actionPortfolio)
{
bo = GetBacktesterObject();
bo.Backtest();
Eqty = Foreign(“~~~Equity”, “C”);
MaxEq = Highest(Eqty);
FlatEq = BarsSince(MaxEq > Ref(MaxEq,-1));
MaxFlat = LastValue(Highest(FlatEq));
bo.AddCustomMetric(“Max Flat Eq Bars”, MaxFlat);
}

it will return the number of bars (calendar days) if the database is EOD.

the other option is the excel option and they will give the same results

I checked this on my weekly system so to get the number of days I multiplied MaxFlat by 5.

Actually I seem to get different answers between Excel and the code by Said,. I tried it on a daily system. I also checked it by plotting the Equity ticker in Amibroker and even though that is based on the closed equity it aligns with the Excel method, By plotting the ~~~Equity ticker gives you a good visual.

[TrentRothall]

It would be trading days wouldn’t it not calendar days, is that right?

[Stephen James]

The code returns trading bars so there should be a small variance between it and the spreadsheet method. The variance would be any weekends included in the spreadsheet calculation from date to date of the longest period.

[TrentRothall]

Thanks Craig – a handy piece of code Said

[LeeDanello]

Craig Fisher wrote:

The code returns trading bars so there should be a small variance between it and the spreadsheet method. The variance would be any weekends included in the spreadsheet calculation from date to date of the longest period.

It should be more accurate than the spreadsheet but I had quite a bit of variance. Has anyone compared the numbers?

[Author]

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