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Different Drawdowns and how they are calculated?

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YuL

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1 month ago #270931

There is a number of Drawdown columns in strategies list:

Drawdown

Actual Drawdown

Open Drawdown

Avg. Drawdown

Max Intraday Drawdown

Max DD %

Can anyone explain how each of them is calculated? Also, “Drawdown” in report overview seem to match “Open Drawdown”, which misleads even more.

Or maybe there is a place where this is explained that I missed? I couldn’t find in the docs and search on forum by “Drawdown” key is useless…

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hankeys

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1 month ago #270935

i am using only drawdown and actual drawdown values – actual drawdown is obvious – its actual drawdown, so drawdown on the last trade

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YuL

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1 month ago #270936

Word “Actual” actually has lots of meanings.

How does drawdown of only the last trade helps you? What makes last trade more important than the others?

Also, in report “Drawdown” actually means “Open Drawdown”, at least it matches this value in the list. And it is always larger than other drawdown fields, so it looks like a better field to estimate real risk of strategy. But I still would like to know how all of these fields are calculated…

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hankeys

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1 month ago #270944

i am using actual drawdown as a information about actual state of a strategy or portfolio…for example is my actual drawdown bigger than the drawdown from the evaluation phase of a strategy?

i am using for my final strategies the OOS data period from the date where the strategy was made as a final, so i could pretty easily compare those values and see, if the strategy already exceeded his historical max DD, etc. etc.

many users many needs…

You want to be a profitable algotrader? We started using StrateQuant software in early 2016. 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. 1500+ final SQX strategies for members running on demo accounts to verify the edge DEMO ACCS. We provide also strategies for indices - DAX, DOW JONES, NASDAQ, SP, UK, because we have realtick data from our brokers.

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