Max Drawdown - Combined Results

[freddy250]

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

[NinjaTrader_Austin]

Freddy, I will have someone get back to you tomorrow with an answer to your question.

[NinjaTrader_Bertrand]

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/helpGuides/nt7/performance.htm

[freddy250]

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.

[NinjaTrader_Brett]

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.

[philippe07024]

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?

[NinjaTrader_Bertrand]

Please see my post #3 philippe07024.

[wuileng]

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!

[NinjaTrader_Bertrand]

wuileng, the max time to recover would be an average of the individual items as well, correct.

[wuileng]

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.