I noticed after running walk forward optimization on a strategy, the max drawdown on the total does not match the max drawdown that actually took place. I found an old post that says that is because the total max dd is "essentially a trade weighted average of max dd."
I'm not sure of the rationale behind this, but I think it would be much more useful for people to know the actual max dd that took place. For example, i'm looking at results now that show the total max dd as $1800 over 9 years, but in one of the years it was $3800. In reality, the actual total max dd could've even been more than that because the stats are broken up into each year (in this case), and that particular dd could've dragged on into the next year and gotten worse. It'd be nice to see the total max dd reflect this.
Thanks
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