ReturnUlcer calculation/AverageDrawdown

Posted By: Zheka

ReturnUlcer calculation/AverageDrawdown - 02/17/22 16:25

What is the definition of a "drawdown" used in ReturnUlcer (and other) drawdown calculations?

Specifically:
- which prices are used: closes or adverse extremes?
- is 1-bar drawdown considered a drawdown?

It would also be helpful if Zorro explicitly exposed AverageDrawdown as a statistic. It would then allow more robust usage in custom fitness functions, as Peak Equity - used in ReturnUlcer calcs - is just a single data point.
Posted By: Spirit

Re: ReturnUlcer calculation/AverageDrawdown - 02/23/22 13:00

The ulcer formula is on https://en.wikipedia.org/wiki/Ulcer_index

For strategy performance you calculate ulcer with no prices or drawdown, but equity retracements from prior equity peaks. Zorro also deviates from the formula by using the percentage of the total maximum, not the prior maximum. At least thats how I understand the manual.
Posted By: Zheka

Re: ReturnUlcer calculation/AverageDrawdown - 02/23/22 14:21

Equity at each bar is Closed trade equity/balance + Open trade equity. Open trade equity is calculated from some price. What is this price: a close or, say, a low/high?
Posted By: Spirit

Re: ReturnUlcer calculation/AverageDrawdown - 02/23/22 14:44

Equity is current value of open trades plus accumulated profits.

https://manual.zorro-project.com/balance.htm
© 2024 lite-C Forums