Risk exposure in detailed report stats

• 12/11/2019 at 1:03 AM #114617
  J.

  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?

  

  J.

  Participant

  Topics: 15

  Replies: 27

  Been thanked: 6 times
  12/11/2019 at 9:38 AM #114620
  Nicolas

  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.

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20828

  Been thanked: 4742 times
  12/11/2019 at 10:01 AM #114623
  Nobody

  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 .

  

  Nobody

  Participant

  Topics: 9

  Replies: 190

  Been thanked: 59 times
  12/11/2019 at 4:40 PM #114693
  J.

  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.

  

  J.

  Participant

  Topics: 15

  Replies: 27

  Been thanked: 6 times
  01/07/2021 at 10:45 AM #156727
  Nobody

  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.

   

  

  Nobody

  Participant

  Topics: 9

  Replies: 190

  Been thanked: 59 times
• Author
  Posts