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Max Drawdown - Combined Results

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    Max Drawdown - Combined Results

    For a backtest on multiple instruments, is the Combined Max DD shown simply the average of the Max DDs??

    If so, is there a way to calculate what the actual Max DD would have been for a portfolio of instruments?

    Thanks,
    Freddy

    #2
    Freddy, I will have someone get back to you tomorrow with an answer to your question.
    AustinNinjaTrader Customer Service

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      #3
      Freddy, it would show the weighted average of the individual draw downs contributing. The statistic you seek would need to be self calculated, performance info could be accessed via the Performance class :

      http://www.ninjatrader.com/support/h...erformance.htm
      BertrandNinjaTrader Customer Service

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        #4
        Would it be possible to export the net daily profit of each instrument to excel? This would seem to be the easiest was to calculate the Combined Max DD.

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          #5
          Hello,

          Yes you can do this. In the export results grid simply right click and select Grid->Export To Excel.

          Let me know if I can be of further assistance.
          BrettNinjaTrader Product Management

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            #6
            Originally posted by freddy250 View Post
            For a backtest on multiple instruments, is the Combined Max DD shown simply the average of the Max DDs??

            ...
            Could you please confirm the answer to the first question of Freddy?

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              #7
              Please see my post #3 philippe07024.
              BertrandNinjaTrader Customer Service

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                #8
                Hi,

                So I understand that under Combined Results, the cumulative profit and drawdowns are a number-of-trades weighted average of all the instruments.

                Is it also correct to assume that the maximum time to recovery is also a weighted average rather than the "true" maximum time to recovery?

                Thanks!

                Comment


                  #9
                  wuileng, the max time to recover would be an average of the individual items as well, correct.
                  BertrandNinjaTrader Customer Service

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                    #10
                    Thanks for the clarification.

                    Hope NT8 comes with the feature to integrate all the trades for various instruments from an instrument list to provide the actual combined performance metrics.

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