Is there a measure of active drawdown anywhere in SQ?
8 replies
RJL
8 years ago #114395
It would be good if active drawdown was illustrated in the equity chart…
Having the capacity and margin to hold on to active drawdown is important to know as part of a strategy/portfolio, so a way of knowing when and how long a strategy holds on to a negative trade, and how deep, would be extremely useful to know.
mikeyc
8 years ago #133803
Totally agree with this.
I’m starting to use cAlgo more as a trading platform and when backtesting a strategy, you are able to see floating (open) profit and drawdown on the equity chart as a light grey background around the closed equity curve line.
This gives a good visual representation of MAE and MFE.
If this could be displayed on the equity curve it would be fantastic addition to SQ4.
Patrick
8 years ago #133805
mikeyc
8 years ago #133806
No, SQ doesn’t support cAlgo (the automated version of cTrader).
tomas262
8 years ago #133810
I forwarded this to Mark as a new feature request for SQ4
RJL
8 years ago #134084
Thanks Tomas.
Hopefully this can be added to the first iteration of SQ4, if not please at least provide us with an option to add maximum MAE/MFE as a filter in the main table of results.
It would help massively in quickly determining how good entries/exits are, as well as how much and how long drawdown a strategy holds on to.
Mark Fric
7 years ago #141520
yes, I plan to add MAE/MFE to SQ4, also into an equity chart, but it is one of the lower priority tasks, so it most likely won’t be in the upcoming Beta.
Mark
StrategyQuant architect
mikeyc
7 years ago #141526
yes, I plan to add MAE/MFE to SQ4, also into an equity chart, but it is one of the lower priority tasks, so it most likely won’t be in the upcoming Beta.
I’m really interested in the MAE/MFE analysis. First off to use in calculated entry and exit accuracy and also in the fitness function, to minimise the entry and exit errors when building and improving strategies.
Mark Fric
4 years ago #255797
this is an old topic, I’ll just add that both MAE/FRE and open equity were added to StrategyQuant X and they are also drawn on equity chart
Mark
StrategyQuant architect
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