Again, I'm not taking about the account status. I understand that part. I'm taking about the real drawdown is never calculated. It only takes buy and sell and adds up wins and losses. That is not drawdown. Drawdown is exposure while in the position as well. And, yes, I personally calculate this on my own for all my strategies but your customers, I'd imagine, do not. It's a pretty big deal.
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Hi guys… searching forums and this topic is covering the exact item I am wanting… any finished code for this optimizer get measures unrealized PNL as a possible factor we can optimize against? Goal is to use multi objective and optimize on both profit factor as well as this new performance metric / optimization parameter… we run many multi day dollar cost average strategies and I agree with poster here that it’s not really max drawdown when looking only at trades that have closed out.
i am storing the maximum unrealized loss per strategy history as a plotted value im databox… so just wanting any example code where I can reference this (or multiply times * -1) to get the highest value and therefore optimize against it.
Thanks,
Chad
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