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ReturnUlcer calculation/AverageDrawdown #485293
02/17/22 16:25
02/17/22 16:25
Joined: Jul 2017
Posts: 783
Z
Zheka Offline OP
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Zheka  Offline OP
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Z

Joined: Jul 2017
Posts: 783
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.

Re: ReturnUlcer calculation/AverageDrawdown [Re: Zheka] #485316
02/23/22 13:00
02/23/22 13:00
Joined: Sep 2003
Posts: 929
Spirit Offline

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Spirit  Offline

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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.

Re: ReturnUlcer calculation/AverageDrawdown [Re: Zheka] #485318
02/23/22 14:21
02/23/22 14:21
Joined: Jul 2017
Posts: 783
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Zheka Offline OP
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Zheka  Offline OP
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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?

Re: ReturnUlcer calculation/AverageDrawdown [Re: Zheka] #485320
02/23/22 14:44
02/23/22 14:44
Joined: Sep 2003
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Spirit Offline

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Spirit  Offline

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Equity is current value of open trades plus accumulated profits.

https://manual.zorro-project.com/balance.htm


Moderated by  Petra 

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