Click here to Login





                                                   Max Drawdown Statistic

  0

0
Brian
2011-10-09 14:07:12


Hello,

I am running a simulation over 10 year. There are about 2,000 trades during that period.

Looking at the statistics page and also the report heading, the max drawdown figure is incorrect.
The reported max draw only seems to be looking back 1 year or 200 - 300 trades.

For example, the QuantShare reported drawdown is 11%, however 6 years ago, there is a drawdown of over 20%.
The 20% is calculated by looking at the equity chart and dragging the drawdown onto it.

Is there a QuantShare restriction in the number of trades that will be looked at when calculating the max draw?
All other statistical number appear to be correct.



QuantShare
2011-10-09 16:44:55

  0

There are no restrictions and I have never got an error in the calculation of the maximum drawdown.

Please send us a screenshot of the report and statistics page to support@quantshare.com



Brian
2011-10-09 17:18:52

  0

As requested, an email with attachments has been sent to Quantshare.

Thank you for your timely reply.



Jan
2011-10-18 16:54:40

  0

Best Answer
I've seen the same happening, but it seems to be fixed with Version 2.5.1.

Thanks for the quick fix :-)

Jan



No more messages
0




Reply:

No html code. URLs turn into links automatically.

Type in the trading objects you want to include: - Add Objects
To add a trading object in your message, type in the object name, select it and then click on "Add Objects"










QuantShare

Trading Items
Maximum Drawdown Composite Indicator
Average Maximum Drawdown
Maximum Intraday System Drawdown
Updating Margin Factor During Drawdown
Drawdown Since Trading Signal

How-to Lessons
How to create a Monte Carlo simulation
Difference between the watchlist and the screener tools
How to create a moving average of an indicator
How to print a chart
How to scale and move the chart Y-axis

Related Forum Threads
Using Drawdown in sell rules
Entry conditions and fields
MAE and MFE
Exit rules - Simulation vs actual trades
Advance Money Management Script debug.

Blog Posts
The average maximum drawdown metric
Trading Optimization
Forecast volatility using trading rules and neural networks
Trading System: Moving average crossover and few others buy and s...
How to turn any ordinary trading strategy into a very profitable ...









QuantShare
Product
QuantShare
Features
Create an account
Affiliate Program
Support
Contact Us
Trading Forum
How-to Lessons
Manual
Company
About Us
Privacy
Terms of Use

Copyright 2012 QuantShare.com
Social Media
Follow us on Facebook
Twitter Follow us on Twitter
Google+
Follow us on Google+
RSS Trading Items



Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.