Is MaxDrawDown

• 04/29/2024 at 6:08 PM #232048
  maluna

  I don’t know why max drawdown is not correctly calculated in probacktest

  I have the most simplebuy and hold strategy on SPY.

  Buy 1 january 1998 and sell today

  accordingly to the generated result the max drawdown is only 24.5% that it is clearly wrong considering the big downs of years 2000 and 2008

  Any idea why the drawdown is wrong?

  code

  Buy and hold Strategy

  DEFPARAM CumulateOrders = False  buy (100000/close) shares at market

  1 2 3

  DEFPARAM CumulateOrders = False    buy (100000/close) shares at market

   

  Thanks in advance!

   

   

   

  

  maluna

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  04/29/2024 at 6:49 PM #232055
  JS

  Personally, I think a “Drawdown” of 24.5% ($-141,467.75) is a decent “Drawdown”…

  The calculation of the maximum “Drawdown” is always relative to the maximum “Runup”…

  %Drawdown = Max. Drawdown / Max. Runup * 100

  %Drawdown = 141.467,75 / 578.765,00 * 100 = 24,5%

  

  JS

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  04/30/2024 at 10:57 AM #232070
  Iván

  Hi,
  In my opinion the DD% is not correctly calcultated.
  See attached image.

  defparam cumulateorders = false capini = 100000 buy capini/close shares at market if not onmarket then mystrategyprofit=strategyprofit elsif longonmarket then mystrategyprofit=strategyprofit+(close-tradeprice)/pointsize*pointvalue*countoflongshares endif equitycurve = mystrategyprofit+capini //Maxrun if equitycurve > maxrun then maxrun = equitycurve else maxrun = maxrun endif //Drawdown DD=equitycurve-maxrun DDp = DD/maxrun*100 if DDp < maxDDp then maxDDp = DDp else maxDDp = maxDDp endif //graph equitycurve //graph maxrun as "maxrun" coloured("blue") graph DDp as "DD %" coloured("blue") graph maxDDp as "Max DD" coloured("red") graph 0

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  defparam cumulateorders = false capini = 100000 buy capini/close shares at market   if not onmarket then mystrategyprofit=strategyprofit elsif longonmarket then mystrategyprofit=strategyprofit+(close-tradeprice)/pointsize*pointvalue*countoflongshares endif   equitycurve = mystrategyprofit+capini   //Maxrun if equitycurve > maxrun then maxrun = equitycurve else maxrun = maxrun endif //Drawdown DD=equitycurve-maxrun DDp = DD/maxrun*100   if DDp < maxDDp then maxDDp = DDp else maxDDp = maxDDp endif   //graph equitycurve //graph maxrun as "maxrun" coloured("blue") graph DDp as "DD %" coloured("blue") graph maxDDp as "Max DD" coloured("red") graph 0

  

  Iván

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  04/30/2024 at 7:29 PM #232105
  maluna

  Hi all,

  “%Drawdown = 141.467,75 / 578.765,00 * 100 = 24,5%”

  This is not correct, result is not 24,5%, is 24,42% instead, this is not how this %MaxDD is calculated

  24,5% is calculated from the absolute number of drawdown that is -141.467 $ that was a -24,5% at that point in time considering the current balance of the system at that point in time, but this is not the definition of a max drawdown, max drawdown should not consider absolute numbers or be dependant of your balance at that point in time, should work with %’s

  I agree with Ivan, MaxDD for this strategy should be -56,58% as you can see in Ivan’s attachment.

  In my opinion this value is not correct at all.

  Thanks for your answers!

   

   

   

  

  maluna

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  05/30/2024 at 9:28 AM #233263
  Nicolas

  For your information, numerous fixes have been made to this problem, but they are not yet deployed on the IG side, but should be available next week.

  

  Nicolas

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