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How to spot Drawdown at each trade?

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    How to spot Drawdown at each trade?

    Hi

    Is there any way Strategy Performance monitor will show what is the drawdown for each trade execution?

    The only information available in regards to drawdown, is the "max drawdown" in a series ( Historical, Real Time etc), but it seems not possible in Ninjatrader to correlate where did that happen (which trade). The Trades summary brings each trade result after it has been terminated, but I cannot find a way to see the drawdown that happened at each trade. Even at test scenarios where there are not a single losig trade aand all results accumulate positively there is some max drawdown shown, but I cannot figure out how to spot where it happened ( what trade).

    In cTRADER platform, the summary chart brings the Spikes above and below each trade period to demonstrate what has been the risk exposure at each trade.

    Thanks much,
    G

    #2
    Hello bouncetherubble,

    Thanks for your post.

    In the strategy performance, under the display "Trades" will be a table of trades listed with the entry/exit date and times. The profit or loss of each trade will be shown in the "Profit" column where a loss is show in Red and will be enclosed in (), example ($87.50)(assuming you have select Currency as the display selection, otherwise it will be as you have selected). The next column displays the accumulated profit up to that trade and again a negative value will be in red and enclosed in ().

    If you are looking for what the maximum negative the trade went (potential loss not realized) then that is show in the Column MAE (Maximum adverse excursion). The Column MFE (Maximum Favorable Excursion) would show the maximum positive the trade went (potential gain not realized).

    Here is a link to the statistics definitions: https://ninjatrader.com/support/help...efinitions.htm
    Paul H.NinjaTrader Customer Service

    Comment


      #3
      Hi Paul,

      Yes I was looking for MAE/MFE... It never occurred me to check what those columns meant.

      Thanks much for the clarification
      G

      Comment


        #4

        Hi Paul


        I cannot understand where did the Max drawdown of $127 ( Summary) in a Short trade came from if it cannot be found individually at at the MAE column, or, as any negative delta at the Cumative Net Profit ... These are the Summary and Trades views of the same strategy in the same period.

        Can you take a look at that and please tell me how the drawdown is calculated?

        Click image for larger version

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        Click image for larger version

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ID:	1077198

        Thanks much,
        G





        Comment


          #5
          Hi Paul,

          I think I get it now ....Max drawdown is the sum of the accumulated losses by Long&Short trades.

          I was thinking of drawdown as the maximum risk exposure in a trade but it is already clarified that component is MAE (Maximum adverse excursion).

          Thanks much
          G

          Comment


            #6
            Hello bouncetherubble,

            Thanks for your replies.

            From Post #2, the link to the statistics page, is this definition for Max Drawdown:

            Max. Drawdown
            The maximum drawdown statistic provides you with information regarding the biggest decrease (drawdown) in account size experienced from the highest high seen. Drawdown is often used as an indicator of risk.

            Drawdown = local maximum realized profit – local minimum realized loss
            Max Drawdown = single largest Drawdown

            As an example, your account rises from $25,000 to $50,000. It then subsequently drops to $40,000 but rises again to $60,000. The drawdown in this case would be $10,000 or -20%. Take note that drawdown does not necessarily have to correspond with a loss in your original account principal.
            Paul H.NinjaTrader Customer Service

            Comment

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