This code snippet demonstrates how to calculate the Return over Maximum Draw Down (RoMaD) for trading strategies using ProBuilder. RoMaD is a performance metric that compares the total return of a strategy to its maximum drawdown, providing insight into the risk-adjusted return.

maxstratprofit = max(maxstratprofit, strategyprofit)
if longonmarket then
    runningequity = strategyprofit - ((positionprice - low) * countofposition)
    MaD = max(MaD, maxstratprofit - runningequity)
endif
if shortonmarket then
    runningequity = strategyprofit - ((high - positionprice) * abs(countofposition))
    MaD = max(MaD, maxstratprofit - runningequity)
endif
RoMaD = strategyprofit / MaD
graph RoMaD

Explanation of the code:

• maxstratprofit is updated to be the maximum of itself or the current strategy profit. This keeps track of the highest profit achieved by the strategy at any point.
• The if conditions check whether the market is in a long or short position.
• runningequity calculates the current equity of the strategy by adjusting the strategy profit with the unrealized profit or loss. For long positions, it subtracts the product of the difference between the position price and the current low, and the number of positions. For short positions, it subtracts the product of the difference between the current high and the position price, and the absolute number of positions.
• MaD (Maximum Drawdown) is updated to be the maximum of itself or the difference between maxstratprofit and runningequity. This measures the largest drop from peak to trough in the strategy’s equity.
• RoMaD is calculated by dividing the strategy profit by the maximum drawdown. This ratio indicates how many times the return exceeds the maximum drawdown.
• The graph function is used to plot the RoMaD value, allowing for visual analysis of how this metric changes over time.

This snippet is useful for evaluating the efficiency of a trading strategy by considering both the returns and the risks taken to achieve those returns.