Risk exposure in detailed report stats

J. · 2019-12-11T00:03:00+00:00

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?

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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

Legend

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, 8 months ago.

Topic Details

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