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Re: MaxDD in %
[Re: jcl]
#477638
07/18/19 09:17
07/18/19 09:17
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Zheka
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It would be probably better to use the preceding profit peak at the time of the drawdown instead Of course, this is its definition ( https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp) Dividing by the total gp (at the end of a simulation) just has no meaning, in any case. Without re-investment, maxDD reporting in % - IMHO - should be omitted altogether.
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Re: MaxDD in %
[Re: Zheka]
#477639
07/18/19 09:45
07/18/19 09:45
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Zheka
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Also: - when plotting results, it would make sense to display percentage DD for the case with reinvestment, and absolute DD numbers - without. - report 'closed trade' (or balance-to-balance) DD.
- report average (or median) DD above some min threshold (of %, $ or duration) - report average of top 5 DDs
These will be more informative than just one 1 maxDD number, and too burdensome for users to calculate themselves.
Last edited by Zheka; 07/18/19 09:56.
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Re: MaxDD in %
[Re: jcl]
#477641
07/18/19 12:30
07/18/19 12:30
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Zheka
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1) It's not a bad idea, its how the whole industry defines and calculates it. There is no other software nor paper that calculates it differently. That's why I raised the question in the first place.
2) Reporting "MaxDD in %" for non-reinvesting at all IS a bad idea, exactly for the reasons you described. What IS used is the inverse of your maxDD/(ending)NP calculation - an NP/maxDD ratio (and preferably annualized) - a reward for assumed risk.
Now, it is your product and you can calculate it however you deem appropriate. Just make a note in bold and in capital in the manual that this deviates from the usual calculation which users take for granted.
And if there are issues "of opinion", why not have a vote/discussion on the forum - or- better - a 'pushed' user poll by email ?
Last edited by Zheka; 07/18/19 12:46.
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