Time to reach breakeven

Posted By: dusktrader

Time to reach breakeven - 12/04/13 20:37

I've started calculating this stat manually, but it would be great if Zorro could count and display it in the Performance Report:

I am calculating it manually from the testtrades.csv logfile using Wolfram Alpha search engine to quickly give me the weekdays (ie, ~ business trading days)

Time to first reach breakeven =
(date first trade opened) --> (date first trade closed where capital > start capital)

Time to permanently exceed breakeven =
(date first trade opened) --> (date first trade closed where capital never again drops below the start capital)

THANKS
Posted By: Geek

Re: Time to reach breakeven - 12/04/13 22:57

I agree with this..
Posted By: jcl

Re: Time to reach breakeven - 12/05/13 06:59

This is a good idea, but I think you cannot calculate the breakeven time from the trade open/close dates. You would probably get a meaningless, mostly random time.

I think one can calculate the breakeven time from the equity curve slope and an adjusted drawdown. I'll test if this produces some useful figure.
Posted By: dusktrader

Re: Time to reach breakeven - 12/06/13 15:21

For me, this figure is more of a "fuzzy" metric. I just want to know roughly what to expect once a bot goes live. It is hard to take a step back and understand that it may take weeks for your bot to show breakeven when you're looking at the backtests and only seeing the 5-year outcome. Zorro has a psychological effect of compressing time like this.

One thing I'm unable to calculate in this metric, which might be easy for Zorro to do... is the fuzzy metric average based on oversampling cycles. For example, I am only able to calculate based on the testtrades.csv output, which is one cycle (I think). But if that metric could be calculated as an average from all the cycles' trades, that would be even more useful.
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