Calculating Max Strategy Drawdown

Viewing 4 posts - 1 through 4 (of 4 total)
  • Author
    Posts
  • 10/03/2017 at 8:50 AM #48094 quote
    juanj
    Participant
    Master

    Good Day

    I am trying to build a money management algorithm that will base exposure on maximum drawdown.The initial exposure will be set according to the backtest result.

    The drawdown value will be set according to the backtest result.

    I have been thinking along the lines of using the StrategyProfit command to always store the highest profit level as well as the lowest profit level along with their respective positions using barindex and tradeindex.

    Then depending on whether a new high profit was made before a new low (and vice versa) calculate the difference between the two levels as the max drawdown.

    Have anyone else tried calculating the running max drawdown of their strategy?

    10/03/2017 at 12:53 PM #48118 quote
    Despair
    Blocked
    Master

    The problem with all this running performance data is that it all resets to zero if you only make the slightest change to your strategy. 🙁

    10/03/2017 at 12:54 PM #48119 quote
    Nicolas
    Keymaster
    Master

    It reminds me of something almost similar, in an old topic in the french section: https://www.prorealcode.com/topic/coding-gainspertes-indicator-need-help/

    It may be a good start for your max drawdown indicator.

    juanj thanked this post
    10/03/2017 at 12:57 PM #48120 quote
    juanj
    Participant
    Master

    You are not helping you know 😉 If we were able to export variables and their values and then import or call them it would be nice.

    Another one to add the neverending list of PRT recommendations…

  • Author
    Posts
Viewing 4 posts - 1 through 4 (of 4 total)
  • You must be logged in to reply to this topic.

Calculating Max Strategy Drawdown


ProOrder: Automated Strategies & Backtesting

New Reply
Author
author-avatar
juanj @juanj Participant
Summary

This topic contains 3 replies,
has 3 voices, and was last updated by juanj
8 years, 5 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 10/03/2017
Status: Active
Attachments: No files
Logo Logo
Loading...
Do you like cookies? 🍪 We use cookies to ensure you get the best experience on our website. (Learn more)
©2026 ProRealCode - Trading & Coding with ProRealTime™