Possible to graph drawdowns?

• 05/20/2019 at 1:03 PM #98888
  jebus89

  Hi, so i was wondering if its possible to graph drawdowns in the EQ curve?

  

  jebus89

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  05/20/2019 at 1:45 PM #98891
  Vonasi

  Something like this perhaps:

  dd = 0 if longonmarket and close < positionprice then dd = positionprice - close endif if shortonmarket and close > positionprice then dd = close - positionprice endif graph dd

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  dd = 0   if longonmarket and close < positionprice then dd = positionprice - close endif   if shortonmarket and close > positionprice then dd = close - positionprice endif   graph dd

   

  

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  05/20/2019 at 1:47 PM #98892
  Vonasi

  On second thoughts it is better to use high and low as this shows how far max drawdown could have gone if you had a position in each candle.

  dd = 0 if longonmarket and low < positionprice then dd = positionprice - close endif if shortonmarket and high > positionprice then dd = close - positionprice endif graph dd

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  dd = 0   if longonmarket and low < positionprice then dd = positionprice - close endif   if shortonmarket and high > positionprice then dd = close - positionprice endif   graph dd

   

  

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  05/20/2019 at 1:51 PM #98893
  Vonasi

  I should really think before posting! The above codes don’t consider multiple positions. This does:

  dd = 0 if longonmarket and low < positionprice then dd = (positionprice - close) * countofposition endif if shortonmarket and high > positionprice then dd = (close - positionprice) * abs(countofposition) endif graph dd

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  dd = 0   if longonmarket and low < positionprice then dd = (positionprice - close) * countofposition endif   if shortonmarket and high > positionprice then dd = (close - positionprice) * abs(countofposition) endif   graph dd

   

  

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  05/20/2019 at 4:45 PM #98916
  jebus89

  Hm thats not exactly what i had imagined. Was thinking more in the line of this (see picture)

   

  When  a drawdown starts a graph would be start to be drawn, when the drawdown ends the graph can just go to zero.

   

  to the left is what u made Vonasi, to the right is more what i would have wanted. Would be easier to “see” the drawdown and how extreme and or mild it is compared to other drawdown periods. Hope that makes sense

   

  Edit: Something more like this: https://www.managedfuturesinvesting.com/analyzing-a-ctas-daily-returns-part-two-equity-curve-vs-underwater-chart/ (photo)

   

  Edit2: Guess its called “underwater chart”

  

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  05/21/2019 at 7:50 AM #98941
  Vonasi

  Something like this then:

  if longonmarket then floatingProfit = (((low - positionprice ) * pointvalue) *countofposition) / pipsize endif if shortonmarket then floatingProfit = (((high - positionprice) * pointvalue) * abs(countofposition)) / pipsize endif floatingEquity = StrategyProfit + floatingProfit maxequity = max(maxequity, StrategyProfit + floatingProfit) ddperc = ((floatingequity / maxequity) * 100) - 100 graph ddperc

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  if longonmarket then floatingProfit = (((low - positionprice ) * pointvalue) *countofposition) / pipsize endif   if shortonmarket then floatingProfit = (((high - positionprice) * pointvalue) * abs(countofposition)) / pipsize endif   floatingEquity = StrategyProfit + floatingProfit maxequity = max(maxequity, StrategyProfit + floatingProfit) ddperc =  ((floatingequity / maxequity) * 100) - 100   graph ddperc

   

  

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  05/21/2019 at 9:46 AM #98971
  jebus89

  I think ur closing in haha except when ur not in drawdown anymore (when EQ curve hits new highs, then it should just go to zero, cus ur not in drawdown.

  Then when EQ curve hits new lows (from the current high) then it starts graphin

   

   

  edit: which is what is happening maybe, in ur graph? lol

  

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  05/21/2019 at 10:07 AM #98972
  Vonasi

  jebus89 wrote:

  except when ur not in drawdown anymore (when EQ curve hits new highs, then it should just go to zero, cus ur not in drawdown. Then when EQ curve hits new lows (from the current high) then it starts graphin

  That is exactly what it does. It stores the maximum high of the equity curve and whenever equity is lower than this it calculates the percentage drop from the highest ever equity.

  The image I posted is perhaps not a good representation as it was just a dumb strategy that bought on a red candle and sold if price ever closed in profit so the draw downs shown are long and deep until price moves back above the buy price.

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  Vonasi

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  05/21/2019 at 11:59 AM #98996
  jebus89

  Looks very good 🙂 Thanks

   

  Edit: might be a dumb question but, any way to use this on every strategy and then somehow analyze when their big drawdowns happens?

  Like is there a way to export this graph or the numbers? 😛 Would love to look at say 10x strategies drawdown “underwater” charts to analyze to have a better correlated portfolio of strategies..

  I dont think this is possible, but would be amazing.

  

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  05/21/2019 at 11:12 PM #99094
  Vonasi

  jebus89 wrote:

  I dont think this is possible, but would be amazing.

  You maybe entering territory way beyond what PRT can provide right now! It would be great if we could present graphed values or indicator outputs in a table rather than just a chart. Then we could drag and drop them into Excel and mix them with other instrument/strategy tables then re-organise them and produce a chart that tells us something about correlated strategies. Hard work and slow but it might be useful.

  I’ll let you post it as a suggestion! Maybe we will see it in v12.9?

  

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