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Dave W.
2014-02-13 18:22:01
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Ok. Thanks again.
I guess I did a poor job of explaining what I was looking for / made some assumptions that are not shared. What I was looking for is a measure of the most adverse equity moves, including adverse equity moves for open trades. An example would probably help get us on the same page.
Let's say my initial system equity was $100,000. I take 3 trades that are all opened and closed on the same days, and the trades are held 10 days. All the trades end up as losers and all three trades are exactly the same size in dollars - $20,000 each. When those 3 trades are closed out in 10 days, I have $95,000 in closed equity remaining and my max system drawdown is 5% ($100k - $5k).
When these trades were open, though, there were some volatile days. At the end of day 5, all three trades were down double digits - trade 1 was down 10% ($2,000), trade 2 was down 15% ($3,000), and trade 3 was down 20% ($4,000). So, at the end of day 5, my equity is $100,000 - ($2,000 + $3,000 + $4,000) = $91,000. So what I was calling the "System MAE" -- the worst intra-trade drawdown -- would be -9%. Just like when you calculate MAE on individual trades, the System MAE would always be worse (or equal to) the maximum per-trade drawdown.
Is that an easy change to the script you wrote?
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