Re: [system-traders] Three Moving Averages

[Oliver Bossert <olf AT olfsworld.de>]

Hi,

> I'd like to get your opinion on how the buy and hold should be
> calculated. I've found that it seems to buy whenever your system buys
> (all the same buys as your system, including reinvests) but never
> sells. Then it calculates the return of each buy at the end date and
> adds all the returns up (in a weighted fashion I think).

This might be true; I didn't looked at this calculation for some time.
If you have a long-only strategy the right B&H would be the percentage
between buy at the first day and sell at the last day; the inverse for a
short strategy. 

This gets even more complicated when you have several different shares;
in this case the B&H of the index would be the best choice. However if
you invent a new B&H-module you can add it under GT:Analyzers as an
alternative...

But IMHO there is a severe bug in the Max DD-calculation. Some of my
systems have a DD of 103% (for long-only this is impossible) and when I
look at the portfolio-chart, the max. DD is around 30%...

CU, Olf
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