how to calculate max wait days?

[LeeDanello]

I’ve done a bit of a test using the equity curve. The code that Said posted gives me quite a bit of variance
Here is my output

[SaidBitar]

There is no difference with the excel
Regarding the excel here is the procedure
1. Copy and paste the result of backtest from amibroker
2. Make pivot table for the exit dates and the sum of profits on each exit day
3. Make accumulated profits
4. Continue as per the link provided by Nick

[LeeDanello]

Yes I followed Nicks procedure.

Here is the Spreadsheet

From your formula max flat bars = 293
The Spreadsheet calculates 512.

Obviously something doesn’t add up

[SaidBitar]

yeah i totally agree

May be the difference is coming from the way AB calculates the Equity, in excel we are working on closed positions may be AB is using the open profits on each day to calculate then there will be reason for the difference.

no idea to be honest

[LeeDanello]

Thanks for confirming that. Obviously need to subtract weekends and public holidays. So the real number is 260/365*512 = 365 days

[Nick Radge]

How do you get that equity curve Maurice? Looks like the old TradeStation equity curve

[LeeDanello]

Just go to “~~~equity” symbol in “symbols” and plot it as a line diagram. That would be the equity from your last back test

Just in case others are interested

[LeeDanello]

This is the better way to go.
Paste the formula into the AFL editor and save it. You can then plot it as an indicator.
You can also save it to the reports folder where it will be included in the backtest report.

Code:

eqname = “~~~EQUITY”;
if( Name() != eqname ) SetForeign( eqname );
eq = Close;

bslh = HighestBars(eq);

MaxWaitBars = Highest(bslh);
Plot(bslh, “#bars since last high”, colorred, styleHistogram, 0, 10 * LastValue( Highest( bslh ) ) );
Plot(MaxWaitBars, “Max Wait Bars”, colorBlack, styleline);

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