Drawdown Max calculation issue in optimization reports

• 12/01/2020 at 4:50 PM #152325
  ericsaint

  In PRT v11.1, when you perform a backtesting optimization, the Drawdown Max and Runup Max figures disclosed in the optimization report appear to be wrong. The snapshot attached shows an example of such report.

  In this backtesting, the underlying instrument is US 500 Cash (1EUR), the initial capital is EUR 50,000, the maximum equity value reached by any simulation line is approximately EUR 25,000 and the minimum equity value reached by any simulation line is approximately -EUR 30,000; thus Drawdown Max and Runup Max figures above EUR 100,000 do not seem to make sense…

  Have you comme across this issue before with PRT v11.1?

  

  ericsaint

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  12/02/2020 at 8:22 AM #152376
  Vonasi

  It was already mentioned here in this topic:

  https://www.prorealcode.com/topic/max-drawdown-runup-v-11/

  I also raised it with Nicolas off forum when I spotted it on the day IG released v11.

  Hopefully it is on PRT’s list to fix.

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  Kovit, GraHal

  

  Vonasi

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