Max Cummulative DrawDown - Optimization Fitness

[markkm]

Hello,

Anyway to optimize based on Max cumulative Drawdown ?

Thanks in advance

[NinjaTrader_ChelseaB]

Hello markkm,

Thank you for your note.

There is a Min Draw Down (for the minimum amount of account loss) included with NinjaTrader.

To confirm, you are wanting the opposite, to optimize over the largest decrease in account size (large losses)?

It is possible to create custom a custom Optimization Fitness scripts.
Below is a public link to the help guide.

https://ninjatrader.com/support/helpGuides/nt8/en-us/optimization_fitness.htm

I would recommend copying the Min Draw Down included with NinjaTrader and then modifying the calculation.

[markkm]

Thank you Chelsea.
Correct, I'd like to penalize it by dividing e.g. net profit by Max cumulative drawdown, so my best performance would show the best net profit with the least cumulative drawdown.

The Min DrawDown only shows the smallest since drawdown, and it's not cumulative.

https://ninjatrader.com/support/helpGuides/nt8/en-us/?multi-objective_optimization.htm

Minimum Drawdown
This fitness metric represents the smallest decrease (drawdown) in account size experienced from the highest high seen in each trade, and is used to find the iteration with the lowest drawdown.

See the Maximum Drawdown formula on the Statistics Definitions page
Min Drawdown = the smallest single drawdown

[markkm]

I am referring to this metric - see attached picture.
Can anybody please help ?

[NinjaTrader_ChelseaB]

Hello markkm,

While our NinjaTrader support team is not able to write the logic or calculation on your behalf, this thread will remain open for any community members that would like to write this calculation and logic as a convenience to you.

You can also contact a professional NinjaScript Consultant who would be eager to create or modify this script at your request or assist you with your script. The NinjaTrader Ecosystem has affiliate contacts who provide educational as well as consulting services. Please let me know if you would like our business development follow up with you with a list of affiliate consultants who would be happy to create this script or any others at your request.

[deltamacro]

An accurate measure of True Drawdown is critical !

To the NT team: While I understand how NT8 currently calculates drawdown, and while I also understand that you can't be expected to develop every feature and indicator the NT community wants, I'd like to second the original poster's request for an accurate method to integrate real drawdown (eg. Max Cumulative Drawdown) into our Optimization fitness and performance metrics.



Drawdown is understood by the vast majority of the finance community to be Cumulative Maximum Drawdown. This metric does in fact appear on the strategy analyzer analysis table as "Cum. max. drawdown," however, it does not seem to be accessible within a custom Optimization Fitness function. Considering that Drawdown is one of the Most important metrics in quantitative finance (if not THE most important), I think it is more than reasonable to expect an accurate drawdown feature. Frankly, I love the NT8 platform but the lack of a usefull drawdown measurement is probably your single greatest problem.


PS: I'll pass this along to your product team as well.

[deltamacro]

Max Cumulative Drawdown metric is Critical... Why is it still not available?

To the NT team: While I understand how NT8 currently calculates drawdown, and while I also understand that you can't be expected to develop every feature and indicator the NT community wants, I'd like to second the original poster's request for an accurate method to integrate real drawdown (eg. Max Cumulative Drawdown) into our Optimization fitness and performance metrics.

Drawdown is understood by the vast majority of the finance community to be Cumulative Maximum Drawdown. This metric does in fact appear on the strategy analyzer analysis table as "Cum. max. drawdown," however, it does not seem to be accessible within a custom Optimization Fitness function. Considering that Drawdown is one of the Most important metrics in quantitative finance (if not THE most important), I think it is more than reasonable to expect an accurate drawdown feature. Frankly, I love the NT8 platform but the lack of a usefull drawdown measurement is probably your single greatest problem.


PS: I'll pass this along to your product team as well.

[NinjaTrader_ChelseaB]

Hello deltamacro,

I will submit a feature request on your behalf for the development to consider creating this optimization fitness script.

Once I have a tracking ID for this request I will post in this thread for future reference.

[markkm]

deltamacro, I agree, thanks for bringing this up.

Meanwhile, you can divide by (Math.Abs(strategy.SystemPerformance.AllTrades.Tra desPerformance.Percent.Drawdown) to optimize for the least DD. It's not cumulative but it gives an indication.

[NinjaTrader_ChelseaB]

Hello,

I have received tracking ID #SFT-3468 for this request for a Max Cumulative Drawdown Optimization Fitness script.

Please note it is up to the NinjaTrader Development to decide if or when any request will be implemented.

[rcarver62]

Is there any update on creating this Max Drawdown Optimization?

[NinjaTrader_ChelseaB]

Hello rcarver62,

Welcome to the NinjaTrader forums!

SFT-3468 has not been implemented at this time.

Please note it is up to the NinjaTrader Development to decide if or when any request will be implemented.

[rcarver62]

Any other backdoor ways to control a strategy in a similar way?