Drawdown Max calculation issue in optimization reports

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  • #152325 quote
    ericsaint
    Participant
    Junior

    In PRT v11.1, when you perform a backtesting optimization, the Drawdown Max and Runup Max figures disclosed in the optimization report appear to be wrong. The snapshot attached shows an example of such report.

    In this backtesting, the underlying instrument is US 500 Cash (1EUR), the initial capital is EUR 50,000, the maximum equity value reached by any simulation line is approximately EUR 25,000 and the minimum equity value reached by any simulation line is approximately -EUR 30,000; thus Drawdown Max and Runup Max figures above EUR 100,000 do not seem to make sense…

    Have you comme across this issue before with PRT v11.1?

    Backtesting-optimization-report.png Backtesting-optimization-report.png
    #152376 quote
    Vonasi
    Moderator
    Master

    It was already mentioned here in this topic:

    Max drawdown / runup V.11

    I also raised it with Nicolas off forum when I spotted it on the day IG released v11.

    Hopefully it is on PRT’s list to fix.

    GraHal and Kovit thanked this post
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Drawdown Max calculation issue in optimization reports


Platform Support: Charts, Data & Broker Setup

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ericsaint @ericsaint Participant
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This topic contains 1 reply,
has 2 voices, and was last updated by Vonasi
5 years, 2 months ago.

Topic Details
Forum: Platform Support: Charts, Data & Broker Setup
Language: English
Started: 12/01/2020
Status: Active
Attachments: 1 files
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