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Forums>StrategyQuant>Application Support>WFO Drawdown calculation for % risk management is broke

  • #261435 |
    Participant
    1 Posts

    I think there’s a bug in the WFO drawdown calculation, maybe not a bug but certainly, the wrong calculation has been used.
    the actual drawdown relative to price is 13%, as it correctly says on the graph. but if you calculate the drawdown in $ value
    it comes out to the 51% that it says in the WFO ( when compared to start balance of 10k)

    So it seems that it’s comparing the drawdown of a % risk management run to the starting balance and thus giving an insanely inflated drawdown. The graph shows the right drawdown and the drawdown it should use but the calculation is comparing to start balance not current balance.
    And its causing a huge pain for our % risk management runs making it impossible to use.

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    #261563
    tomas262
    Administrator
    1826 Posts

    Hello,

    we would like to look into this more deeply. Do you still have the strategy (sqx file) around with the WF results save? You can attach or send to support@strategyquant.com

    Thanks

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