Drawdown calculation

[NinjaTrader_Matthew]

Thanks for taking your time to put together this exercise. Reviewing this, our documentation is over simplified for calculating these values, and when we start working with percentage, it does become difficult to calculate based off the limited information in the help. We're currently working on the next version of NinjaTrader and look to improve our documentation in these gray areas.


From your Excel sheet, you've used the Cum. Profit in terms of price, however in order for us to arrive at the Max. Drawdown in %, we must calculate from a formatted percentage.

I've also put together an example below which I think should help clarify.

I've attached a screen shot of my Summary Results, as well as an exported Trades tab which has two columns added to calculated the Peak as well as the % DrawDown. We'll see the maximum draw down in this example matches.


Please let me know if you have any questions.

[mstreck]

Has there been any Progress on this for Ninja 7?

Are there any plans for Ninja 8 to improve on this issue?

I have read the thread since I have had Trouble analysing some backtest results. I apologise that I have to say that the calculations of 'reinvesting' are useless for me.

Apart from the fact that everybody calculates a drawndown percentage from the last known equity Peak (which means you DO Need to set an Initial account size), even your PnL example does not look Logical to me, since you mess up your reference values of 100%. First you say your Profit percentages are relative to $1, afterwards you take These percentages and apply it to the cumulative Profit, which is not a healthy Thing to do IMHO, once it Comes to Analyse profitability and robustness of a strategy for LIVE trading.

Why would you not want to modify These calculations to simple and effective equity calculations that all other platforms do?

This would really help all of us a lot.

Best regards,
Martin

[NinjaTrader_PatrickH]

Hello mstreck,

Thank you for your post.

These changes will likely not be implemented into NinjaTrader 7. NinjaTrader 8 will feature improvements to the statistics as well as documentation. There will also be the ability to implement your own custom statistics.

Please take a look at th major enhancements list for more information: http://www.ninjatrader.com/downloads...njaTrader8.pdf

[Kevin Kim]

IMHO, what is fundamentally wrong is investing all the money back when calculating percent cumulative profit. Trading system cannot invest all the money on hand back because there is discrete trading unit set by exchange. And traders don't want to invest entire money on hand in many cases because of risk management or some other reasons.