Max drawdown calc

Stef · Thu, 22 Sep 2016 12:43:34 +0000

Hi All, I am trying to calculate the max drawdown for a strategy in order to display this on a backtest. This is what I have so far: // max drawdown - wip once highestequity=startcapital once lowestequity=startcapital once mddall=0 equity=startcapital+strategyprofit if equity>highestequity then highestequity=equity lowestequity=equity newpeakbar=barindex endif if equity<lowestequity and barindex>newpeakbar then lowestequity=equity mdd=(lowestequity-highestequity)/highestequity*100 endif if mdd<mddall then mddall=mdd endif graph mddall Not sure how right or wrong this is currently. Any help would be appreciated. Stef

This topic has 21 replies, 4 voices, and was last updated 1 month ago by robertogozzi.

Viewing 7 posts - 16 through 22 (of 22 total)

← 1 2

01/24/2025 at 7:51 PM #243079

robertogozzi

This code calculates both DrawDown and RunUp and their ratio, butyou have to add it to one of your strategies, not indicators:

// DrawDown & RunUp  (abridged)
//
ONCE Capital  = 10000
ONCE MinPoint = Capital
ONCE MaxPoint = 0
ONCE MaxRU    = 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
//
//------------------------------------------
//       RunUp
MinPoint      = min(MinPoint,TempEquity)
RU            = TempEquity - MinPoint
MaxRU         = max(MaxRU,RU)
RUperc        = MaxRU * 100 / Capital
//------------------------------------------
//       DD/RU ratio
DDRUratio     = (MaxDD / MaxRU) * 100
//------------------------------------------

// DrawDown & RunUp (abridged)

ONCE Capital = 10000

ONCE MinPoint = Capital

ONCE MaxPoint = 0

ONCE MaxRU = 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

//------------------------------------------

// RunUp

MinPoint = min(MinPoint,TempEquity)

RU = TempEquity - MinPoint

MaxRU = max(MaxRU,RU)

RUperc = MaxRU * 100 / Capital

//------------------------------------------

// DD/RU ratio

DDRUratio = (MaxDD / MaxRU) * 100

//------------------------------------------

You only have to set your Capital, in place of 10000.

1 user thanked author for this post.

LucasBest

robertogozzi

Moderator

Topics: 69

Replies: 18007

Been thanked: 4582 times

01/25/2025 at 9:09 AM #243083

fifi743

@robertogozzi Isn’t there a mistake on line 24?

MaxRU = min(MaxRU,RU)

fifi743

Participant

Topics: 10

Replies: 994

Been thanked: 489 times

01/25/2025 at 4:34 PM #243089

robertogozzi

No, as we always have to store the highest value, both for RunUP and DrawDOW, this code matches ProRealTime calculations (on Dax, DailyTF) as shown in the attached pic:

// DrawDown & RunUp
//
ONCE Capital  = 100000
ONCE MinPoint = Capital
ONCE MaxPoint = 0
ONCE MaxRU    = 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
//
//------------------------------------------
//       RunUp
MinPoint      = min(MinPoint,TempEquity)
RU            = TempEquity - MinPoint
MaxRU         = max(MaxRU,RU)
RUperc        = MaxRU * 100 / Capital
//------------------------------------------
//       DD/RU ratio
DDRUratio     = (MaxDD / MaxRU) * 100
//------------------------------------------

ONCE Punti = 50*PipSize
ONCE N     = 5
ONCE SL    = 100*PipSize
Entrata    = highest[N](high[1]) + Punti
IF (close > Entrata) AND Not OnMarket THEN
   BUY 1 Contract at Market
   StopLoss = min(SL,abs(close - (low[1] - 1*PipSize)))
   x        = low[1] - 1*PipSize
   SET STOP   LOSS   StopLoss
   SET TARGET PROFIT StopLoss * 2
ENDIF
graph MaxRU AS "RunUP" coloured("Green")
graph MaxDD AS "DrawDOWN" coloured("Red")

// DrawDown & RunUp

ONCE Capital = 100000

ONCE MinPoint = Capital

ONCE MaxPoint = 0

ONCE MaxRU = 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

//------------------------------------------

// RunUp

MinPoint = min(MinPoint,TempEquity)

RU = TempEquity - MinPoint

MaxRU = max(MaxRU,RU)

RUperc = MaxRU * 100 / Capital

//------------------------------------------

// DD/RU ratio

DDRUratio = (MaxDD / MaxRU) * 100

//------------------------------------------

ONCE Punti = 50*PipSize

ONCE N = 5

ONCE SL = 100*PipSize

Entrata = highest[N](high[1]) + Punti

IF (close > Entrata) AND Not OnMarket THEN

BUY 1 Contract at Market

StopLoss = min(SL,abs(close - (low[1] - 1*PipSize)))

x = low[1] - 1*PipSize

SET STOP LOSS StopLoss

SET TARGET PROFIT StopLoss * 2

ENDIF

graph MaxRU AS "RunUP" coloured("Green")

graph MaxDD AS "DrawDOWN" coloured("Red")

3 users thanked author for this post.

Iván,

justisan,

fifi743

robertogozzi

Moderator

Topics: 69

Replies: 18007

Been thanked: 4582 times

10/18/2025 at 3:10 PM #252724

SnorreDK

Stef wrote:

@Nicolas, tx for that!

I wonder how they (PRT) calculate their max drawdown %.

I did some comparisons on different instruments – see attached.

It looks like my calculations are 85%+ accurate on average – or at least 85%+ the same as theirs.

Interesting if you look at the 2nd and 4th results – at least we are both consistent which is a good sign.

Stef

How do u export dd-data?

SnorreDK

Participant

Topics: 18

Replies: 124

Been thanked: 9 times

10/18/2025 at 5:29 PM #252725

robertogozzi

Same ast the code above, the do match!

robertogozzi

Moderator

Topics: 69

Replies: 18007

Been thanked: 4582 times

10/19/2025 at 8:47 AM #252730

SnorreDK

robertogozzi wrote:

Same ast the code above, the do match!

How do I get time-series Drawdown into a ProRealTime CSV export?

I’ve added your code to my strategy and it displays correctly on the chart in ProRealTime—great!
But I can’t figure out how to include Drawdown in my CSV export.

What I’m doing now

Export path: Detailed report → Closed positions list → Export CSV
That CSV doesn’t include any Drawdown fields.

What I actually need

Not a single fixed “Max DD” value, but a Drawdown time series so I can analyze how DD evolves over time and compute:
- Max DD between two dates,
- Max DD for another date range, etc., all based on the export.

Ideal CSV columns (any equivalent works):

Date/Time, Equity (or Balance/NetLiquidation), Running Peak, Drawdown (amount), Drawdown (%).
With those I can filter any interval and calculate max DD for that window.

Question

Which exact menu/report should I use to export a CSV that contains the equity curve and/or running drawdown (daily or bar-by-bar)?
Is there a column/checkbox I’m missing to add Drawdown to the export?

If PRT can’t export DD directly

What’s the best workaround? For example:
- Export the equity curve and compute DD from equity vs. running peak, or
- Log strategyprofit / equity and a running peak from code into custom variables so they appear in a CSV.

Current path used: Detailed report → Closed positions list (CSV).
Looking for the precise click path (and settings) to get a time-series drawdown out. Thanks!

SnorreDK

Participant

Topics: 18

Replies: 124

Been thanked: 9 times

10/23/2025 at 12:53 PM #252975

robertogozzi

You may get some data from the backtest:

entry price
exit price
outcome
type of trade (long or short)

then you have to get the OHLC data from the chart (you can find posts on how to get it, which is not as straightforward, though, at https://www.prorealcode.com/topic/exporter-les-donnees-historiques-ohlc/#post-250046).

Once you have that data I think a spreadsheet app, such as eXcel, might be able to recalculate the drawdown, maybe with the help of Visual Basic for Applications (VBA).

robertogozzi

Moderator

Topics: 69

Replies: 18007

Been thanked: 4582 times

Author

Posts

Viewing 7 posts - 16 through 22 (of 22 total)

← 1 2

Find exclusive trading pro-tools on