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Average Maximum Drawdown

by QuantShare, 3670 days ago
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The average maximum drawdown is a rules analyzer metric described in the following post: The average maximum drawdown metric . It calculates the maximum drawdown (the maximum an output can lose) of each symbol or security output and then averages the result.

If you are analyzing for example a list of 10 stocks:
The metric will calculate the maximum drawdown of each stock, then he will sum these values and increment an internal counter. After that, he will return the calculated sum divided by the counter value.

I should also point out that not all securities maximum drawdown are added. In fact, a condition must be met before any value is added. The condition is that the number of positions for a particular security must be superior to a threshold value (minposition). You can find this variable at the top of the script code: var minposition : double = 10;
Currently, the default value for this variable is 10, but of course, you can set up any other value.
I have added this condition, so that the metric result will not be skewed by securities that generates only few outputs.
Imagine that the analyzer works with only two symbols and that the first symbol generates 20 signals, while the second one generates only one signal. The maximum drawdown is -50% for the first symbol and 0% for the second symbol. If there were no condition, the metric would have returned an AMD value (Average maximum drawdown) of -25%.


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Type: Rule Metrics

Object ID: 213


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