Adding Drawdown Percentage and Max Drawdown in Results to Excel

Forums ProRealTime English forum ProRealTime platform support Adding Drawdown Percentage and Max Drawdown in Results to Excel

  • This topic has 2 replies, 2 voices, and was last updated 7 years ago by avatarBard.

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  • #32068

    Hi.
    Is there anyway of getting the Drawdown % and Max Drawdown in the Results tables into Excel so you can graph optimised parameters versus drawdown?

    When running optimisation values I can’t find any way of comparing an indicator value that’s been optimised with the drawdown % and/or max drawdown so that you can find a stable range of parameter values that can be used in live trading?

    Please see the screenshot which shows an optimised oscillator range of values compared to % profit. Ideally a 3-d graph of gains v’s drawdowns and the optimised parameter would be necessary to give a good indication for profitable out of sample trading. (Note: the Ehler’s Osc values on the x axis from 1 to 21 refers to the table values from -1 across to +1, — although I’m not sure the gain chart is correct as the profit in the tables didi rise in lock step with the Oscillator values going from 1 to -1 (Idea: eg if you wanted to only go Long when values were >= 0 (value 11) or look for a stable range of oscillator values versus profit)

    Cheers
    Bard

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    #32108

    I can’t help Bard sorry but it sounds like a useful proposal to put to PRT on the Form link below …

    https://www.prorealtime.com/en/contact?suggestion=1

    It’s as if the PRT User Acceptance Team don’t trade with the Tools and so miss out important features.

    One of my main gripes is similar to yours above, but concerning the ‘Running Auto-Systems Window’ … Users have to make loads of mouse clicks and take notes to get to the information that is critical to make an informed decision / choice from many similar results when all it needs is the data in columns before our eyes!?

    GraHal

     

    #32131

    Hi again, yes I agree – there are so many great features about PRT yet surprisingly when you need to see the most common and important statistics e.g. Sharpe, CAGR & MAR ratios etc or to be able to see drawdowns versus optimised parameters it’s not available yet? (hint!). Maybe I’m spoiled because my first real and only experience of looking at systems design was using Trading Blox (though I’m still not an expert in coding) and which comes packed with so many features and 3 -D graphs, Monte Carlo and statistics delivered in an instance. Another thing also is that there was price data you could easily add – particularly intraday – and they had a longer history for back testing.

    However it’s good to see that PRT have introduced the In Sample and Out of Sample testing now – which I need to use – although of course as soon as you alter any parameters in the In Sample period it kind of burns the data and results in curve fitting. I’ve been moving towards pattern based research and using a minimum of one indicator (so there are less parameters to effect future performance) e.g. like the Ehler’s Supersmoother Oscillator.

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