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Forums>Quant Analyzer (formerly named EA Analyzer)>Extending the program>QA4 vers. 4.20.2 calculation DD% and Return /DD Ratio in portfolio wrong

  • #200758 |
    Participant
    27 Posts

    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

     

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    #200765
    Administrator
    348 Posts

    Hello,

    how do you know the correct drawdown of 6%?

    #200766
    Participant
    27 Posts

    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.

    #200767
    Customer
    305 Posts

    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.

    #200774
    Participant
    27 Posts

    Ok I understand now, thanks for your explanation.

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