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Is there a measure of active drawdown anywhere in SQ?

8 replies

RJL

Customer, bbp_participant, community, 70 replies.

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5 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.

 

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mikeyc

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5 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.

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Patrick

Customer, bbp_participant, community, 424 replies.

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5 years ago #133805

Hi Mike

 

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

 

Patrik

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mikeyc

Customer, bbp_participant, community, 878 replies.

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5 years ago #133806

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

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tomas262

Administrator, sq-ultimate, 674 replies.

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5 years ago #133810

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

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RJL

Customer, bbp_participant, community, 70 replies.

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5 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.

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Mark Fric

Administrator, sq-ultimate, 3 replies.

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4 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

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mikeyc

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4 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.

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Mark Fric

Administrator, sq-ultimate, 3 replies.

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1 year 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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