Add Drawdown Period and max drawdown recovery period time

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Kpu123
Posts: 20
Joined: Thu Dec 07, 2023 3:00 pm

Add Drawdown Period and max drawdown recovery period time

Post by Kpu123 »

It will be great if you add DD time ( max time system is underwater) and max DD recovery time and one more thing is return over max drawdown ratio . Thanks in advance
NakedMarkets
Posts: 251
Joined: Tue Feb 22, 2022 11:06 am

Re: Add Drawdown Period and max drawdown recovery period time

Post by NakedMarkets »

Hello,

Are you sure that the stat Drawdown time is what you want ?
Because from our point of view, it does not seem very interesting.
As an example, here is a drawdown chart under the stat center and as you can see it's very very regularly in drawdown, since it's normal for any trading system :
DD_chart.png
DD_chart.png (391.44 KiB) Viewed 9149 times
In this case, the drawdowns would be almost the period of the tests, so not very significantly interesting stat.
However, the max DD recovery time, could be interesting since it shows how many time the system needed to recover the max losses or to make a new historical high on the equity curve.
About the return over max DD ratio, it's already there, it's called the CRR ratio as explained on the Wiki.
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