Be careful : Error in % Max Drawdown !

zilliq · 2020-06-26T08:34:52+00:00

Hu Guys, I have some doubts since some weeks, but I confirm there is an error on PRT to calculate % Max drawndown (Who is very important as we try not to have more than 20 %) The problem is always at the beginning of the backtests On my picture as you see, we have a Maxdrawdown of +/- 4000 USD At this time, the Max Gain is +/- 11616 USD % Max drawdown is 100*4000/11616=34 % (Not good at all = Bankrupt possible at the beginning) But when you go on detailed results we have 21.75 % !! (Who could be acceptable) So be careful if you use % Max drawdown who is for me better than Max Drawdown Have a nice day Guys

Viewing 8 posts - 1 through 8 (of 8 total)

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06/26/2020 at 9:34 AM #137221 quote

zilliq
Participant

Master

Hu Guys,

I have some doubts since some weeks, but I confirm there is an error on PRT to calculate % Max drawndown (Who is very important as we try not to have more than 20 %)

The problem is always at the beginning of the backtests

On my picture as you see, we have a Maxdrawdown of +/- 4000 USD

At this time, the Max Gain is +/- 11616 USD

% Max drawdown is 100*4000/11616=34 % (Not good at all = Bankrupt possible at the beginning)

But when you go on detailed results we have 21.75 % !! (Who could be acceptable)

So be careful if you use % Max drawdown who is for me better than Max Drawdown

Have a nice day Guys

2020-06-26_10h26_41.jpg 2020-06-26_10h27_38.jpg 2020-06-26_10h28_45.jpg

06/26/2020 at 9:40 AM #137225 quote

zilliq
Participant

Master

I understand their error :

They calculate % max drawdown ONLY when floating gain is positive !

But it’s clearly wrong because they need to included when floating gain is positive AND negative

Otherwise it would be too easy to have a % Max drawdown <20 % 🙂

Cheers

GraHal thanked this post

06/26/2020 at 10:14 AM #137230 quote

Vonasi
Moderator

Master

This might be of interest to you:

Possible to graph drawdowns?

zilliq thanked this post

06/26/2020 at 10:22 AM #137231 quote

zilliq
Participant

Master

Thanks Vonassi, that’s kind of how I calculate (But with close not high/low) and see the error

Cheers

06/26/2020 at 10:39 AM #137233 quote

Vonasi
Moderator

Master

Vonasi not Vonassi. I might sometimes be a bit of an ass but I prefer not being called one!

Francesco thanked this post

06/26/2020 at 10:48 AM #137236 quote

zilliq
Participant

Master

Sorry Vonasi I have not understand what you wanted to say ?

06/26/2020 at 10:59 AM #137238 quote

Vonasi
Moderator

Master

zilliq wrote:

I have not understand what you wanted to say

Don’t call me Vonassi when my name is Vonasi is what I am saying! Do you understand now qilliz?

06/26/2020 at 11:28 AM #137239 quote

zilliq
Participant

Master

It seems there is another errors on the road, as you see on this picture

% Max drawdown of -18,71 % but -16,27 % on detailed results

Be careful Guys

Dow Jones thanked this post

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