Bug in calculation of max drawdown on backtest?

[unSane]

I believe there is a bug in the way that max DD is calculated when optimizing. The attached file shows (from a VERY curvefitted strategy!) a supposed max DD of 11.06%. But the results in the trades below clearly show that the DD reached 21% in December 08.

I downloaded all the trades to a spreadsheet and did the math myself. I used the formula

(max cumulated profit - cumulated profit)/(max cumulated profit) * 100

for the DD. This showed the max DD was actually about 26%.

Since I use (Net Profit / Max DD) as a metric for optimizing, this is a serious problem for me.

Or am I wrong?

[NinjaTrader_Bertrand]

Hi unSane, the DD in the lower screen portion list refers to the weekly (Period setting) % DD.

The Max. Drawdown refers to the complete history of the strategy.

Maybe this link is also helpful - http://www.ninjatrader-support.com/H...xDrawdown.html

[unSane]

How can it be possible to have a 20% drawdown in a week, but for the maximum drawdown to be 6%?

How do you arrive at the % figure? What is it a percent of?

Is the problem that you are arriving at your max % drawdown by scaling the max drawdown in currency to the final equity in currency?

To see why this is a problem consider the following series:

Equity[0] = $100,000         <-- starting equity
Equity[1] = $50,000           <-- $50,000 drawdown, or 50% 
Equity[2] = $200,000
Equity[3] = $140,000         <-- $60,000 drawdown, or 30%
Equity[4] = $300,000
Equity[5] = $500,000
Equity[6] = $400,000         <-- $100,000 drawdown, or 20%

The correct figures are:

Max Drawdown = $100,000 (at bar 6)
Max % Drawdown = 50% (at bar 1)

Note that these are NOT on the same bar so you can't calculate the max % drawdown simply by rescaling the max drawdown, which is what the optimizer appears to do.

Please tell me if I'm wrong. How would the optimizer report the % drawdown in this case?

Hi unSane, the DD in the lower screen portion list refers to the weekly (Period setting) % DD.

The Max. Drawdown refers to the complete history of the strategy.

Maybe this link is also helpful - http://www.ninjatrader-support.com/H...xDrawdown.html

[NinjaTrader_JoshP]

unSane,

There are some Max Drawdown related bugs pending for resolve in NT7. Please try again after then. Thank you for your patience.

[unSane]

Ok, that's what I thought.

Would it be helpful if posted an optimizer type for real % drawdown? I also have one for Net Profit / Max % Drawdown and am working on one for RINA which is

Net Profit / ( Max % Drawdown * % time in market)

[NinjaTrader_JoshP]

unSane,

Thank you for the offer. At this point in time I do not think it would be necessary.