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BUG v3.6.2 unrealistic drawdown and negative sharpe in Portfolio

2 replies

9 years ago #112281

On the portfolio I made I have an unrealistically large Drawdown and negative Sharpe, while the Portfolio has positive performance

I attached a picture with portfolio overview. I wanted to add a picture too, but it doesn’t fit by size.

BTW. Why the size requirements for pictures are so small. I have 115.77 kb for pictures to add, it is quite hard to make printscreens small enough by size with letter still visible.

File:

9 years ago #125005

I often get gigantic Max DD % too, in the thousands.. Not sure how it can ever get over 100% (i.e. losing all the starting capital)? Unless StrategyQuant calculates it by finding the max absolute loss with respect to the initial capital. Or else I don’t understand how simulation can continue once the starting capital is lost.

9 years ago #125077

yes,this is the reason. Unlike MT4, SQ doesn’t stop the test when the strategy loses all the initial capital.

If you see this often maybe you should increase the initial capital, it is used mainly for drawdown computation.

Mark
StrategyQuant architect

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