Max DrawDown and Cum Max DrawDown calculations

[roblogic]

Hello,

I have been reading the forum and the guide in NT7 about how it is calculated but still have plenty of doubts.

In NT8:

DrawDown is the greatest of the differences between a Max account size and the lowest account size from the Max account size. And if the strategy is DAY, it resets daily:

Example bellow (Lows and Max are chronological from oldest to newest):

DAY1:
Init portfolio value = 100
Low1 = 80
Max1 = 120
Low2 = 90
Max2 = 110
Low3 = 60
SessionEnd = 80

Max DrawDown is: Max2 - Low3 = 50 Correct?


Then, what exactly is carried forward to DAY2 for the Cum MaxDrawDown calculation in the above example?

And what amount would be carried forward to DAY2 if at sessionEnd the value of the portfolio is 120 (greater than Max2)

[NinjaTrader_ChrisL]

Hello roblogic, thanks for your post.

The DrawDown is defined as Average MFE (Maximum Favorable Excursion) – Average Trade (the profit or loss of the trade). Did you have an example on the platform you could show here? Please provide screenshots of what you are seeing. When I run tests on my strategy the drawdown value is correct for individual trades (ETD). The min/max would be the minimum or maximum value out of all optimization periods that are ran.

I look forward to hearing from you.

[roblogic]

Hello Chris,

Thanks for your reply. Ok let's assume Max Drawdown is understood here. But what about Cum Max Draw Down? How do you calculate it? Is it possible that you calculate it taking the figures of the above example?

[NinjaTrader_ChrisL]

Hello roblogic, thanks for your reply.

The DrawDown is measured from peak to trough, so with the example, it would be (120-60)/120 = 0.5% over this session. On a strategy analyzer optimization, you can minimize the drawdown as an optimization. I could not find any place in the platform where this value is accumulated over all strategies. There is an "Avg ETD" value for the Summary tab, but that would be the average ETD over all the trades the strategy took. Could you share what part of the platform you are looking into?

I look forward to hearing from you.

[roblogic]

Could you share what part of the platform you are looking into?

Hello Chris - Cum Max DrawDown is the 8th column in Strategy Performance / Display / Analysis $. It just before Max Draw Down

[NinjaTrader_ChrisL]

Hi roblogic, thanks for your reply.

It looks like Cumulative Max Drawdown is calculated by tallying up Max Drawdown among all trades, you can see this clearly when switching "Period" to "Trades"