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Forums>StrategyQuant>General Discussion>Is there a measure of active drawdown anywhere in SQ?

  • #114395 |
    Customer
    60 Posts

    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.

     

    #133803
    Customer
    562 Posts

    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.

     

    Attachments in this forum are visible only for registered users.

     

    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.

    #133805
    Customer
    268 Posts

    Hi Mike

     

    from SQ it is not possible to export the code for cTrader, is it?

     

    Patrik

    #133806
    Customer
    562 Posts

    No, SQ doesn’t support cAlgo (the automated version of cTrader).

    #133810
    Moderator
    1568 Posts

    I forwarded this to Mark as a new feature request for SQ4

    #134084
    Customer
    60 Posts

    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.

    #141520
    Mark Fric
    Administrator
    1150 Posts

    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

    #141526
    Customer
    562 Posts
    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.

    #255797
    Mark Fric
    Administrator
    1150 Posts

    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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