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NinjaTrader
Backtest max DD in open position
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Yes, but I believe this drawdown is calculated based on losing trades on a closing basis. I'd like to know per trade what the max drawdown was while in that position.
For example: I place an long order EURUSD 1.1300 and while in that position it drops to 1.1250. Finally I close the position when it hits 1.1325 for +25 pips. Right now I dont see the -50 pips while I was in that position. Just that it closed for a +25 profit. I'd like to see the -50 too.
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Originally posted by siroki View PostYes, but I believe this drawdown is calculated based on losing trades on a closing basis. I'd like to know per trade what the max drawdown was while in that position.
For example: I place an long order EURUSD 1.1300 and while in that position it drops to 1.1250. Finally I close the position when it hits 1.1325 for +25 pips. Right now I dont see the -50 pips while I was in that position. Just that it closed for a +25 profit. I'd like to see the -50 too.
The OP is arguably mis-using the word "drawdown", since other terms exist to describe what he wants.
Drawdown reflects how a closed trade has affected your account balance, thus it is per-trade statistic and is a value calculated after the trade has closed.
<SideNote>
How to calculate MaxDrawDown?
Here is some pseudo code for currency calculations,
Code:Let MaxDrawDown = 0 Let DrawDown = 0 FOREACH trade that has closed DO Drawdown = DrawDown + Trade-Realized-Profit-In-Currency; if (DrawdDown > 0) DrawDown = 0; if (DrawDown < MaxDrawDown) MaxDrawDown = DrawDown; END LOOP
What the OP wants is Maximum Adverse Excursion (MAE), which keeps track of the worst PnL the trade ever saw while the trade was open.
Conversely, the Maximum Favorable Excursion (MFE) keeps track of the best PnL the trade ever saw while the trade was open.
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Originally posted by bltdavid View PostOld post, but it bugs me when confusion continues to reign in a historical thread.
The OP is arguably mis-using the word "drawdown", since other terms exist to describe what he wants.
Drawdown reflects how a closed trade has affected your account balance, thus it is per-trade statistic and is a value calculated after the trade has closed.
<SideNote>
How to calculate MaxDrawDown?
Here is some pseudo code for currency calculations,
Code:Let MaxDrawDown = 0 Let DrawDown = 0 FOREACH trade that has closed DO Drawdown = DrawDown + Trade-Realized-Profit-In-Currency; if (DrawdDown > 0) DrawDown = 0; if (DrawDown < MaxDrawDown) MaxDrawDown = DrawDown; END LOOP
What the OP wants is Maximum Adverse Excursion (MAE), which keeps track of the worst PnL the trade ever saw while the trade was open.
Conversely, the Maximum Favorable Excursion (MFE) keeps track of the best PnL the trade ever saw while the trade was open.
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Originally posted by koganam View PostYou are not the only one irked by imprecision. Join the club.
The OP's own definition in his opening post screamed out MAE MAE MAE ... so I was disappointed and surprised that NT support did not "see" that.
NT support is usually quite good ... but they failed in this thread.
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