Drawdown

[kaywai]

Hi,

I trying to get the data for drawdown by trade from the strategy analyzer.

Unfortunately the best i can find is under the "Periods" tab and it is data for a daily drawdown.

Under the Graph tab, it would seem that the drawdown chart is on a by trade basis.

Can you tell me where I am able to find drawdown data on a by trade basis? If not, what is the formula by which I can code it into my strategy?

Regards

Kay Wai

[NinjaTrader_RyanM1]

Hello Kay Wai,

There's the built in drawn down graph that you appear to have found.

If you're looking for an idea on how this is calculated in NT, please take a look at this page on the statistical definitions:

http://www.ninjatrader.com/support/helpGuides/nt7/statistics_definitions.htm

[kaywai]

Hi Ryan,

I guess there's no drawdown data on a per trade basis other than the charted data then?

Regards

Kay Wai

[NinjaTrader_RyanM1]

There is not. You would need to manually calculate this.

[kaywai]

Hi Ryan,

Would you mind giving some pointers on how I could code this on a per trade basis?

Another query that comes to mind is how would I calculate the drawdown if ExitOnClose = true?

Regards

Kay Wai

[NinjaTrader_RyanM1]

Drawdown relates to changes to an account, so maybe you are just looking for realized PnL for losing trades? If viewed in the trades performance report, this is the Profit column. You may also get use from the MAE value also shown on that statistical definition page.

You had a recent forum post where you were looking for highest high in trade. If you are instead looking for lowest low, you can take the inverse of all that.

It's really up to you how you define and calculate the value you want to know.