Calculate DD from CSV

• 10/18/2025 at 8:31 AM #252714
  SnorreDK

  Hello,

  ​Simple question:

  ​I want to calculate  Maximum Drawdown (MDD) using data exported from the ProRealTime ProBacktest report (CSV file).

  ​Is it possible for my external calculation to match the exact MDD value shown in the ProRealTime platform’s statistical report?

  ​If so, what specific data field(s) do I need to ensure are included in the CSV export to achieve this match?

  ​Thank you.

  

  SnorreDK

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  10/18/2025 at 10:55 AM #252717
  robertogozzi

  This is the calculation:

  // DrawDown // ONCE Capital = 10000 ONCE MaxPoint = 0 ONCE MaxDD = 0 //------------------------------------------ // EQUITY Equity = Capital + StrategyProfit TempProfit = PositionPerf * PositionPrice / PipSize * PipValue // / abs(CountOfPosition) TempEquity = Equity + TempProfit //------------------------------------------ // DrawDown MaxPoint = max(MaxPoint,TempEquity) DD = MaxPoint - TempEquity MaxDD = max(MaxDD,DD) DDperc = MaxDD * 100 / Capital

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  // DrawDown // ONCE Capital  = 10000 ONCE MaxPoint = 0 ONCE MaxDD    = 0 //------------------------------------------ //       EQUITY Equity        = Capital + StrategyProfit TempProfit    = PositionPerf * PositionPrice / PipSize * PipValue //   / abs(CountOfPosition) TempEquity    = Equity + TempProfit //------------------------------------------ //       DrawDown MaxPoint      = max(MaxPoint,TempEquity) DD            = MaxPoint - TempEquity MaxDD         = max(MaxDD,DD) DDperc        = MaxDD * 100 / Capital

  You need to provide yourself the Capital, then you will have to provide what is needed to compute the following data:

  • StrategyProfit
  • PositionPerf
  • PositionPrice
  • PipSize
  • PipValue
  • CountOfPosition

   

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  Iván

  

  robertogozzi

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  10/18/2025 at 2:05 PM #252722
  SnorreDK

  Thanks roberto but how do i get this as part of cvs export for my strategy?

  

  SnorreDK

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  10/18/2025 at 2:36 PM #252723
  SnorreDK

  Another qurstion in same subject

   

  I’m backtesting a trading system designed to operate on a Daily (1 Day) timeframe (e.g., entry/exit signals are only generated at the close of the daily candle).

  ​I want to calculate the most realistic Maximum Drawdown (MDD) for this strategy.

  ​My question pertains to the resolution of the data required for this crucial metric:

  ​Close-to-Close MDD: If I calculate MDD based only on the daily Close of the strategy’s equity curve, it will miss any deep pullbacks that occur intraday (floating P&L).

  ​Intraday MDD: To capture the true worst-case scenario (Peak Equity to Trough Equity), is it best practice to analyze the strategy’s P&L using 1-minute (1m) historical data?

  ​Specifically, for a strategy that only trades once a day, should the MDD reporting rely on high-resolution 1-minute data to accurately reflect the maximum potential adverse excursion (MAE) experienced by the open position?

  ​Any insights into how professional backtesters or ProRealTime handles this distinction would be greatly appreciated.

  ​Thank you!

  

  SnorreDK

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  10/18/2025 at 5:42 PM #252726
  robertogozzi

  As to the above list:

  • StrategyProfit
    you need to have prices and simulate a trade to know what the outcome would be (open, close, etc…)
  • PositionPerf
    as for StrategyProfit, you need to have prices and simulate a trade to know what the temp outcome would be candle by candle (open, close, etc…)
  • PositionPrice
    it’s the entry price of the simulated trade (or the average price if you accumulate positions)
  • PipSize
    you know it, as it’s related to the instrument you want to trade, it’s usually 1 for indices and 0.0001 for FX pairs, but not for JPY pairs and for other assets like shares (make an idicator with the single line  RETURN PipSize to know it
  • PipValue
    same as above but replacing that line with RETURN PipValue
  • CountOfPosition
    the number of positions traded in your simulation

   

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  Iván

  

  robertogozzi

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