January 4, 2023

5 1

Return / Max Drawdown (Max Intraday Drawdown or Trade Drawdown)

Sometimes the calculated Drawdown does not reflect the Maximum Drawdown we could have and which would trigger a margin call. I get many strategies with great Ret/DD ratio. But when I look at the strategies I can see that some of them have much bigger Max Intraday Drawdown (= Maximum Adverse Excursion). See picture.
This new code chooses the greater Drawdown (Max Intraday Drawdown or Trade Drawdown).

I hope there are no mistakes !

package SQ.Columns.Databanks;

import com.strategyquant.lib.*;
import com.strategyquant.datalib.*;
import com.strategyquant.tradinglib.*;

//created by Fabien 17/12/2022

public class ProfitMaxDD extends DatabankColumn {
    public ProfitMaxDD() {
          DatabankColumn.Decimal2, // value display format
          ValueTypes.Maximize, // whether value should be maximized / minimized / approximated to a value   
          0, // target value if approximation was chosen  
          0, // average minimum of this value
          100); // average maximum of this value
    setWidth(80); // defaultcolumn width in pixels
        setTooltip("NetProfit/ Max Intraday or Trade DD Ratio");  
    setDependencies("NetProfit", "MaxIntradayDrawdown", "Drawdown");
    /* If this new column is dependent on some other columns that have to vbe computed first, put them here.
       Make sure you don't creat circular dependency, such as A depends on B and B depends on A.
       Columns (=stats values) are identified by the name of class)
    //setDependencies("DrawdownPct", "NumberOfTrades");

    public double compute(SQStats stats, StatsTypeCombination combination, OrdersList ordersList, SettingsMap settings, SQStats statsLong, SQStats statsShort) throws Exception {
    double netProfit = stats.getDouble("NetProfit");
    double maxIntradayDrawdown = stats.getDouble("MaxIntradayDrawdown");
    double DD = Math.abs(stats.getDouble("Drawdown"));
    double MaxDD = Math.max(maxIntradayDrawdown, DD);

        return round2( SQUtils.safeDivide(netProfit, MaxDD));


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January 15, 2023 8:57 am

Thank you Fabien !