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Walk Forward - Max Drawdown

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    Walk Forward - Max Drawdown

    Hi there,

    I noticed after running walk forward optimization on a strategy, the max drawdown on the total does not match the max drawdown that actually took place. I found an old post that says that is because the total max dd is "essentially a trade weighted average of max dd."

    I'm not sure of the rationale behind this, but I think it would be much more useful for people to know the actual max dd that took place. For example, i'm looking at results now that show the total max dd as $1800 over 9 years, but in one of the years it was $3800. In reality, the actual total max dd could've even been more than that because the stats are broken up into each year (in this case), and that particular dd could've dragged on into the next year and gotten worse. It'd be nice to see the total max dd reflect this.

    Thanks

    #2
    Hello kabes223,

    Thanks for your post.

    We will check with development and update this thread when we have further information.



    edit: changed the word reply with post.
    Paul H.NinjaTrader Customer Service

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      #3
      Hello kabes223,

      Please see the helpguide link here:https://ninjatrader.com/support/help...asket_test.htm

      We have added your vote to the feature request SFT-1924 to change the behavior in basket testing cases
      Paul H.NinjaTrader Customer Service

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