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Jim Dean

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Joined: 10/11/2012
Location: L'ville, GA

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Subject : RE: CAR, MDD and Calmar, in an OScript condition
Posted : 5/13/2014 8:05 AM
Post #30553 - In reply to #30550

I've found out something from Barry since posting earlier. The "window" over which the OScript is calc'd is ALWAYS the full history ... it ignores the Account settings "start date" entry. It also includes some unspecified-as-yet number of warmup bars, before 1/1/2000 ... which may or may not affect the MDD & CAR & CALMAR calc's depending on whether the "Equity C" is populated before the 1/1/2000 official-history start date.

So, every time you run these formulae, they will be for the period of 1/1/2000 (or before), up through whatever bar is being processed.

If you want to LIMIT the range of the calc's to a LATER start date, then you need to SUBTRACT some integer from "bar" wherever it's used in the formulae. That is, replace "bar" in the formulae with (bar-N-M), where:
N = bars (ie days) between your desired start date, and 1/1/2000
M = whatever number of warmup bars OVest is using (Barry please help with this info)

So, if you wanted to start your MDD or CAR or CALMAR analysis as of 1/1/2007, there are a total of six years before that since 1/1/2000, and each year has about 252 trading days, so N = 6*252 = 1512. If your test period starts on 1/1/2013, N would be 12 years = 3024.

[Edited by Jim Dean on 5/13/2014 8:12 AM]

Deleting message 30553 : RE: CAR, MDD and Calmar, in an OScript condition


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