Montecarlo Analysis in Quant Analyzer- Max % DD Explanation

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Daniel Ianotto

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5 months ago #276097

I tested my strategy using Quant Analyzer, and Montecarlo Analyse shows a drowdown percentage which is higher that 100%. I would like to understand what drowndown percantage means and how this value is calculated. I’m a beginner of Montecarlo simulation and I’m not able to understand how I can obtain a positive net profit even if I get a higher than 100% drowndown percentage.
Attached, you can find a schreenshot showing the obtained results.

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Administrator, sq-ultimate, 1 replies.

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5 months ago #276111

You could read this as follows: in 95 % of all MC simulations the max DD was not bigger than 161 %

In all simulations max DD never exceeded 440 %



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