Calculating Max Strategy Drawdown

• 10/03/2017 at 8:50 AM #48094
  juanj

  Good Day

  I am trying to build a money management algorithm that will base exposure on maximum drawdown.The initial exposure will be set according to the backtest result.

  The drawdown value will be set according to the backtest result.

  I have been thinking along the lines of using the StrategyProfit command to always store the highest profit level as well as the lowest profit level along with their respective positions using barindex and tradeindex.

  Then depending on whether a new high profit was made before a new low (and vice versa) calculate the difference between the two levels as the max drawdown.

  Have anyone else tried calculating the running max drawdown of their strategy?

  

  juanj

  Participant

  Topics: 51

  Replies: 505

  Been thanked: 170 times
  10/03/2017 at 12:53 PM #48118
  Despair

  The problem with all this running performance data is that it all resets to zero if you only make the slightest change to your strategy. 🙁

  

  Despair

  Blocked

  Topics: 97

  Replies: 1034

  Been thanked: 218 times
  10/03/2017 at 12:54 PM #48119
  Nicolas

  It reminds me of something almost similar, in an old topic in the french section: https://www.prorealcode.com/topic/coding-gainspertes-indicator-need-help/

  It may be a good start for your max drawdown indicator.

  1 user thanked author for this post.

  juanj

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4773 times
  10/03/2017 at 12:57 PM #48120
  juanj

  You are not helping you know 😉 If we were able to export variables and their values and then import or call them it would be nice.

  Another one to add the neverending list of PRT recommendations…

  

  juanj

  Participant

  Topics: 51

  Replies: 505

  Been thanked: 170 times
• Author
  Posts