May 17, 2022

5 1

Annual % Return / Max. Drawdown % of Initial Capital

When evaluating strategies, it useful to consider the maximum drawdown as a percentage, not only respect to the previous high, but to the initial capital, as theoretically, the maximum drawdown could take place right after having started executing the strategy.

Here we are considering, as a ratio, the annual percentage return vs maximum drawdown percentage of initial capitial in order to have a way of comparing annual return to maximum drawdown as occurred historically in the time span of the strategy being evaluated.

After importing the snippet and restarting SQX, you should be able to add it as a column named “Annual % Return / DD% on Initial”.

 

1 Comment
Oldest
Newest Most Voted
Inline Feedbacks
View all comments
Emmanuel
Emmanuel
May 23, 2022 5:13 am

Excellent Kevin !!!!!!!!!! This will be helpful !!!! Thank you very much !!