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column of consecutive losses and actual drawdown

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hankeys

Customer, bbp_participant, community, sq-ultimate, 487 replies.

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7 years ago #116177

Is it possible to add to QA a new columns to the view of simple strategy and portfolio?

 

Column1 – percentage of “actual consecutive losses” divided “max consecutive losses”. 

Take the last consecutive losses from list of trades (if the last trade is profit do nothing = 0) and divide it with the max consecutive losses from whole backtest. So for example if i get 100% it tells me, that right now is the strategy (portfolio) getting max consecutive losses

 

Column2 – percentage of “actual drawdown” divided “max drawdown”

Take the last value of drawdown from list of trades and divide it with max drawdown – for example if i get 50% it tells me, that right now is the strategy (portfolio) getting to half of drawdown from the whole backtest so it is ready to be put on real account so i can decrease the amount of the risk.

 

This is very useful to make a decision what strategy or portfolio is ready to be put on real account

 

Someone who could do it for the community?

You want to be a profitable algotrader? We started using StrateQuant software in early 2014. For now we have a very big knowhow for building EAs for every possible types of markets. We share this knowhow, apps, tools and also all final strategies with real traders. If you want to join us, fill in the FORM.

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Jan

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7 years ago #140998

Done.

 

5 new columns – folder DatabankColumns:

  • Actual DD
  • Actual DD / DD in %
  • Last Consec. Losses
  • Last Consec. Losses in % of Max Consec. Losses
  • Last Consec. Wins

 

2 x fitness functions for Portfolio Master – folder FitnessFunctions:

  • Actual DD in % of Max DD – maximizing this value
  • Last Consec. Losses in % of Max Consec. Losses – maximizing this value

 

Folder StatValues – modified snippets extending StatValues calculation

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hankeys

Customer, bbp_participant, community, sq-ultimate, 487 replies.

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7 years ago #140999

thats exactly what i need, thx

You want to be a profitable algotrader? We started using StrateQuant software in early 2014. For now we have a very big knowhow for building EAs for every possible types of markets. We share this knowhow, apps, tools and also all final strategies with real traders. If you want to join us, fill in the FORM.

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