Max Run Up – Definition??

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  • 09/01/2018 at 9:30 PM #79535 quote
    GraHal
    Participant
    Master

    Anybody know or hazard a guess at the definition of Max Run Up?

    Seems obvious (?) until you see results like attached … £6.9K  with an average gain of £50 and a max gain of £100 and 11 max consecutive gains??

    Run-Up.jpg Run-Up.jpg
    09/02/2018 at 8:48 AM #79546 quote
    Nicolas
    Keymaster
    Master

    From the documentation, page 56/97:

    Max Runup is the potential maximum gain of the trading system.

    The runup is defined as the difference between a given point and the highest point before it on the equity curve:
    RU(n)= P(n) – Min t€[0;n] P(t)

    GraHal thanked this post
    probacktest.pdf
    09/02/2018 at 10:36 AM #79560 quote
    GraHal
    Participant
    Master

    Thank you Nicolas, but isn’t there an error in the PRT Guide?

    Surely Run up is not this (as stated in the PRT Guide)

    The run up is defined as the difference between a given point and the highest point before it on the equity curve:

    It should be this …

    The run up is defined as the difference between a given point and the lowest point before it on the equity curve:

    09/02/2018 at 3:01 PM #79569 quote
    Nicolas
    Keymaster
    Master

    Good job GraHal, you are right  there’s an error in the translation because the definition is correct in the French manual :

    “Max Run-up” :

    correspond au maximum des gains potentiels du système de trading. On définit le “run-up”
    comme l’écart entre un point donné et le point le plus bas (= lowest) qui lui précède sur la courbe de gains & pertes :
    RU(n)= P(n) – Min t€[0;n] P(t)

    Le “Max Run-up” est le maximum de cette valeur sur l’ensemble de la période.
    MaxRU(N) = Maxn€[0:N] ( P(n) – Mint€[0 ;n]P(t) )

    I’m reporting this to the team in charge 🙂

    GraHal thanked this post
    10/01/2018 at 8:31 AM #81647 quote
    Nicolas
    Keymaster
    Master

    Hi GraHal, just to let you know that the documentation is now up to date with the correction about the Max Run-Up definition. Thanks again.

    GraHal thanked this post
    10/04/2018 at 2:52 PM #81932 quote
    random45689
    Member
    New

    Nice one GraHal – are you on the payroll yet? 😉 (you should be!)

    GraHal thanked this post
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Max Run Up – Definition??


Platform Support: Charts, Data & Broker Setup

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GraHal @investment_account Participant
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This topic contains 5 replies,
has 3 voices, and was last updated by random45689
7 years, 5 months ago.

Topic Details
Forum: Platform Support: Charts, Data & Broker Setup
Language: English
Started: 09/01/2018
Status: Active
Attachments: 2 files
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