Risk exposure in detailed report stats

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  • 12/11/2019 at 1:03 AM #114617 quote
    J.
    Participant
    Average

    In the detailed report of my backtest in the closed positions statistics tab, I can see the average risk exposure and maximum risk exposure.

    I know what risk exposure is, but it says that my average risk exposure is over 2000 percent, which doesn’t make sense at all, because I have a stoploss + trailing stop loss incorporated in the strategy that I backtest, which don’t allow a risk of 2000 percent.

    In the backtest, my worst trade only had a loss of 1.77%.

    I’m curious on how ProBacktest calculates the max. and avg. risk exposure.

    Can anyone explain this?

    12/11/2019 at 9:38 AM #114620 quote
    Nicolas
    Keymaster
    Master

    I’ll try to get the formula for both average risk exposure and maximum risk exposure, I’ll let you know when I get them.

    12/11/2019 at 10:01 AM #114623 quote
    Nobody
    Participant
    Veteran

    Its a flawed stat . I guess its worst case scenario  if your leveraged position goes to zero with no reflection of stop losses , I also think its based of initial capital but i might be wrong on that . Be interested to see what Nicholas comes up with . It is a stat i have always ignored .

    12/11/2019 at 4:40 PM #114693 quote
    J.
    Participant
    Average

    Thank you for your replies. Even though the stat may be irrelevant, I’m still curious about how it’s calculated.

    Thank you Nicolas, for taking the time to find it out.

    01/07/2021 at 10:45 AM #156727 quote
    Nobody
    Participant
    Veteran

    Nicholas   did you ever find the formula

     

    Nicolas wrote:

    I’ll try to get the formula for both average risk exposure and maximum risk exposure, I’ll let you know when I get them.

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Risk exposure in detailed report stats


ProOrder: Automated Strategies & Backtesting

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J. @j_slowly Participant
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This topic contains 4 replies,
has 3 voices, and was last updated by Nobody
5 years, 1 month ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 12/11/2019
Status: Active
Attachments: No files
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