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Old 02-09-2011, 02:05 PM   #1
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Default Maximum Drawdown Calculation


I try to understand the way max. Drawdown in % is calculated by NT 7.
Max. Drawdown in currency is clear to me. But how does NT generate
the percentage values? My example is in the appendix.
It's clear that the max. Ddown is generated by trade 7 and 8.
It's19963.8 $ in total. But-whatever I try, I don't get the percentage value
of 9.01%, which is given in the strategy results, when I display percent values.

Entry Price * quantity of trade 7 is 195395.5 $.
MaxDrawdown divided by this number is 10.2%

MaxDDown divided by Cum.Profit after trade 6 is closed (37513.3$)
yields 53%.

None of these calculations fits the NT-result of 9.01%.
So what is NT doing here and in general?
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Old 02-09-2011, 04:38 PM   #2
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Hello Stephan,

It uses the entry / exit prices. You're right that you should look at trades 7 and 8 as that is where you have the Max drawdown.

(2220.4 - 2163.5) / 2220.4 = .0256
(2132.9 - 1991.8) / 2132.0 = .0661

.0256 + .0661 = .0917
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