Be careful : Error in % Max Drawdown !

• 06/26/2020 at 9:34 AM #137221
  zilliq

  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

   

  

  zilliq

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

  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

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  GraHal

  

  zilliq

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

  This might be of interest to you:

  https://www.prorealcode.com/topic/possible-to-graph-drawdowns/#post-98941

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  zilliq

  

  Vonasi

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

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

  Cheers

  

  zilliq

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

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

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  Francesco

  

  Vonasi

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

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

  

  zilliq

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

  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?

  

  Vonasi

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

  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

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  Dow Jones

  

  zilliq

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