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