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strategy analyzer question

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    strategy analyzer question

    Hello. I'm trying to familiarize myself with the strategy analyzer.
    I have created simple example where I buy an instrument, then just hold it. no stops, no profit target, etc.
    When I run the strategy analyzer, it shows the max drawdown as the total realized value on the trade (e.g. the max drawdown equals the net profit), whereas I know based on the performance of the instrument that there have been unrealized drawdowns greatly in excess of that.
    I always assumed the max drawdown was based on mtm, but here it seems based only on realized.
    Can you clarify?

    #2
    Hello stewarco,

    Thank you for the note.

    Below the formula used to calculate max drawdown can be found along with all other statistic formulas used in NinjaTrader:

    https://ninjatrader.com/support/help...ingMaxDrawdown

    The Max Drawdown is calculated as follows:

    Code:
    Drawdown = local maximum realized profit – local minimum realized loss
    Max Drawdown = single largest Drawdown
    Please let me know if I can assist further.
    Chris L.NinjaTrader Customer Service

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      #3
      ah ok. are you aware of a statistic that tracks the max unrealized loss of a strategy?

      Comment


        #4
        Hello stewarco,

        Thanks for the reply.

        You would need the Maximum Adverse Excursion to get the lowest profit that your trades had throughout the duration of the trade.

        https://ninjatrader.com/support/help...dingAverageMae

        https://ninjatrader.com/support/help...dingAverageMfe

        Please let me know if I can assist further.
        Last edited by NinjaTrader_ChrisL; 09-04-2018, 09:18 AM.
        Chris L.NinjaTrader Customer Service

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          #5
          this works

          Comment

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