strategy analyzer question

[stewarco]

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?

[NinjaTrader_ChrisL]

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/helpGuides/nt8/en-us/?statistics_definitions.htm#UnderstandingMaxDrawdown

The Max Drawdown is calculated as follows:

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

Please let me know if I can assist further.

[stewarco]

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

[NinjaTrader_ChrisL]

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/helpGuides/nt8/en-us/?statistics_definitions.htm#UnderstandingAverageMae

https://ninjatrader.com/support/helpGuides/nt8/en-us/?statistics_definitions.htm#UnderstandingAverageMfe

Please let me know if I can assist further.

[stewarco]

this works