Max drawdown calc

Stef · Thu, 22 Sep 2016 12:43:34 +0000

Hi All, I am trying to calculate the max drawdown for a strategy in order to display this on a backtest. This is what I have so far: // max drawdown - wip once highestequity=startcapital once lowestequity=startcapital once mddall=0 equity=startcapital+strategyprofit if equity>highestequity then highestequity=equity lowestequity=equity newpeakbar=barindex endif if equity<lowestequity and barindex>newpeakbar then lowestequity=equity mdd=(lowestequity-highestequity)/highestequity*100 endif if mdd<mddall then mddall=mdd endif graph mddall Not sure how right or wrong this is currently. Any help would be appreciated. Stef

This topic has 17 replies, 3 voices, and was last updated 14 hours ago by robertogozzi.

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01/24/2025 at 7:51 PM #243079

robertogozzi

This code calculates both DrawDown and RunUp and their ratio, butyou have to add it to one of your strategies, not indicators:

// DrawDown & RunUp  (abridged)
//
ONCE Capital  = 10000
ONCE MinPoint = Capital
ONCE MaxPoint = 0
ONCE MaxRU    = 0
ONCE MaxDD    = 0
//------------------------------------------
//       EQUITY
Equity        = Capital + StrategyProfit
TempProfit    = PositionPerf * PositionPrice / PipSize * PipValue //   / abs(CountOfPosition)
TempEquity    = Equity + TempProfit
//------------------------------------------
//       DrawDown
MaxPoint      = max(MaxPoint,TempEquity)
DD            = MaxPoint - TempEquity
MaxDD         = max(MaxDD,DD)
DDperc        = MaxDD * 100 / Capital
//
//------------------------------------------
//       RunUp
MinPoint      = min(MinPoint,TempEquity)
RU            = TempEquity - MinPoint
MaxRU         = max(MaxRU,RU)
RUperc        = MaxRU * 100 / Capital
//------------------------------------------
//       DD/RU ratio
DDRUratio     = (MaxDD / MaxRU) * 100
//------------------------------------------

// DrawDown & RunUp (abridged)

ONCE Capital = 10000

ONCE MinPoint = Capital

ONCE MaxPoint = 0

ONCE MaxRU = 0

ONCE MaxDD = 0

//------------------------------------------

// EQUITY

Equity = Capital + StrategyProfit

TempProfit = PositionPerf * PositionPrice / PipSize * PipValue // / abs(CountOfPosition)

TempEquity = Equity + TempProfit

//------------------------------------------

// DrawDown

MaxPoint = max(MaxPoint,TempEquity)

DD = MaxPoint - TempEquity

MaxDD = max(MaxDD,DD)

DDperc = MaxDD * 100 / Capital

//------------------------------------------

// RunUp

MinPoint = min(MinPoint,TempEquity)

RU = TempEquity - MinPoint

MaxRU = max(MaxRU,RU)

RUperc = MaxRU * 100 / Capital

//------------------------------------------

// DD/RU ratio

DDRUratio = (MaxDD / MaxRU) * 100

//------------------------------------------

You only have to set your Capital, in place of 10000.

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LucasBest

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01/25/2025 at 9:09 AM #243083

fifi743

@robertogozzi Isn’t there a mistake on line 24?

MaxRU = min(MaxRU,RU)

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01/25/2025 at 4:34 PM #243089

robertogozzi

No, as we always have to store the highest value, both for RunUP and DrawDOW, this code matches ProRealTime calculations (on Dax, DailyTF) as shown in the attached pic:

// DrawDown & RunUp
//
ONCE Capital  = 100000
ONCE MinPoint = Capital
ONCE MaxPoint = 0
ONCE MaxRU    = 0
ONCE MaxDD    = 0
//------------------------------------------
//       EQUITY
Equity        = Capital + StrategyProfit
TempProfit    = PositionPerf * PositionPrice / PipSize * PipValue //   / abs(CountOfPosition)
TempEquity    = Equity + TempProfit
//------------------------------------------
//       DrawDown
MaxPoint      = max(MaxPoint,TempEquity)
DD            = MaxPoint - TempEquity
MaxDD         = max(MaxDD,DD)
DDperc        = MaxDD * 100 / Capital
//
//------------------------------------------
//       RunUp
MinPoint      = min(MinPoint,TempEquity)
RU            = TempEquity - MinPoint
MaxRU         = max(MaxRU,RU)
RUperc        = MaxRU * 100 / Capital
//------------------------------------------
//       DD/RU ratio
DDRUratio     = (MaxDD / MaxRU) * 100
//------------------------------------------

ONCE Punti = 50*PipSize
ONCE N     = 5
ONCE SL    = 100*PipSize
Entrata    = highest[N](high[1]) + Punti
IF (close > Entrata) AND Not OnMarket THEN
   BUY 1 Contract at Market
   StopLoss = min(SL,abs(close - (low[1] - 1*PipSize)))
   x        = low[1] - 1*PipSize
   SET STOP   LOSS   StopLoss
   SET TARGET PROFIT StopLoss * 2
ENDIF
graph MaxRU AS "RunUP" coloured("Green")
graph MaxDD AS "DrawDOWN" coloured("Red")

// DrawDown & RunUp

ONCE Capital = 100000

ONCE MinPoint = Capital

ONCE MaxPoint = 0

ONCE MaxRU = 0

ONCE MaxDD = 0

//------------------------------------------

// EQUITY

Equity = Capital + StrategyProfit

TempProfit = PositionPerf * PositionPrice / PipSize * PipValue // / abs(CountOfPosition)

TempEquity = Equity + TempProfit

//------------------------------------------

// DrawDown

MaxPoint = max(MaxPoint,TempEquity)

DD = MaxPoint - TempEquity

MaxDD = max(MaxDD,DD)

DDperc = MaxDD * 100 / Capital

//------------------------------------------

// RunUp

MinPoint = min(MinPoint,TempEquity)

RU = TempEquity - MinPoint

MaxRU = max(MaxRU,RU)

RUperc = MaxRU * 100 / Capital

//------------------------------------------

// DD/RU ratio

DDRUratio = (MaxDD / MaxRU) * 100

//------------------------------------------

ONCE Punti = 50*PipSize

ONCE N = 5

ONCE SL = 100*PipSize

Entrata = highest[N](high[1]) + Punti

IF (close > Entrata) AND Not OnMarket THEN

BUY 1 Contract at Market

StopLoss = min(SL,abs(close - (low[1] - 1*PipSize)))

x = low[1] - 1*PipSize

SET STOP LOSS StopLoss

SET TARGET PROFIT StopLoss * 2

ENDIF

graph MaxRU AS "RunUP" coloured("Green")

graph MaxDD AS "DrawDOWN" coloured("Red")

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fifi743

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