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Add Drawdown Period and max drawdown recovery period time
Posted: Sun Dec 10, 2023 3:36 pm
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
Re: Add Drawdown Period and max drawdown recovery period time
Posted: Mon Dec 11, 2023 10:33 am
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 (391.44 KiB) Viewed 7622 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.