Not logged in
Viewing 4 posts - 1 through 4 (of 4 total)

Forums>Quant Analyzer (formerly named EA Analyzer)>General Discussion>Drawdown value doesn't seem to make sense?

  • #232906 |
    Customer
    3 Posts

    Hullo. Maybe someone could help me understand if I’m missing something. I imported a couple of backtests into QA4 and had a look at the drawdown value and became very confused. When shown in percentage terms, the DD figure on a $250,000 equity figure stands at 156.39% but the dollar amount of drawdown is $85,856 maximum. At no time is $85,856 equal to %156.39 of the account so I’m not sure why the drawdown figure shows this way.

    Is the drawdown percentage figure measured against something other than account balance?

    I’ve attached a screen capture of the issue.

    Attachments:
    You must be logged in to view attached files.
    #232918
    Mark Fric
    Administrator
    1182 Posts

    it looks like there is a bug when computing % Drawdown, although it is hard to say without seeing the data.

     

    Could you attach your whatif_Portfolio report here? I’ll check it out.

    Mark
    StrategyQuant architect

    #232933
    Customer
    3 Posts

    Ok, third time I’ll give this post a shot. Looks like the forum doesn’t like sqa file uploads. So here’s a couple of dropbox links,

    https://www.dropbox.com/s/kpxv0ucf5qf7f4a/Portfolio.sqa?dl=0
    https://www.dropbox.com/s/jdspkki9jtctfze/whatIf_Portfolio.sqa?dl=0

    I wiped out the portfolio in the original post so I don’t have that for you unfortunately but the whatif portfolio above shows drawdown in excess of 100% where I believe the drawdown against a $250,000 account might have gotten as high as roughly 25%.

    Thanks for th looking into it mark.

    #240006
    Customer
    17 Posts

    hello

    I have the same problem.

    Nowadays, there are still discrepancies with DD among mt4-5report and QA using same CSV data.

     

    Look at screenshots

    Scenario: EURUSD CSV h1 15years downloaded with tickstory

    Backtest optimization on MT5, we choose one strategy to load into QA.
    Before running QA, we put the CSV exported from metatrader in the QA path requested, and inside “open balances” tab, we computed the CSV File choosen.

    We loaded the strategy into QA, that shows same profit, same trades of metatrader report.   Drawdowns are different.
    QA always shows a better (lower) drawdown, compared with metatrader reports.

    Metatrader5 shows “Equity drawdown maximal” = 2436.03 eur     —– please watch  “balance drawdown maximal” 831.85 eur
    This value 831.85 is useless. Remeber this value.

    QAnalyzer what data shows in drawdown? 831.85 eur    this value is not correct, even we uploaded the same CSV file used to create backtest.

    Will someone fix or solve this frustrating issue?

     

     

     

    Attachments:
    You must be logged in to view attached files.
Viewing 4 posts - 1 through 4 (of 4 total)

You must be logged in to reply to this topic.