Reply

QA4 vers. 4.20.2 calculation DD% and Return /DD Ratio in portfolio wrong

4 replies

Christian Schranz

Subscriber, bbp_participant, community, 30 replies.

Visit profile

6 years ago #200758

Hi traders, I user QA/4 in version 4.20.2. and I noticed that the caclucation in summary in porfolio overview is wrong. In the attachment the drawndown (5) is 1.42 % but must near 6% and the Return / DD Ratio is with 38.15 also wrong because must be under 10.

Any other trader havethe same issue?

Regards Christian

 

Attachments:
You must be logged in to view attached files.

0

tomas262

Administrator, sq-ultimate, 2 replies.

Visit profile

6 years ago #200765

Hello,

how do you know the correct drawdown of 6%?

0

Christian Schranz

Subscriber, bbp_participant, community, 30 replies.

Visit profile

6 years ago #200766

The QA/4 takes the divided result drawndown($) by 10 and caculates from this value (716$) the DD in % which is wrong, because it shows a very low value which is not true. This is the average from the average.

The real value is add the 10 DD(%) from every stratetgy and divided by 10. The result is the real and true average value of DD in %  (6.23%) and not the the average from the average.

0

mabi

Customer, bbp_participant, community, 261 replies.

Visit profile

6 years ago #200767

Do not work that way. Just because a strategy had a drawdown that was 10 % did not mean the portfolio was at drawdown at all. It calculates the  max drawdown for the whole portfolio at a point in time and the max combined drawdown is obviously 1.42 %. That’s why you build portfolios in the first place. Profits ads , drawdowns do not.

0

Christian Schranz

Subscriber, bbp_participant, community, 30 replies.

Visit profile

6 years ago #200774

Ok I understand now, thanks for your explanation.

0

Viewing 4 replies - 1 through 4 (of 4 total)