[137_RC4] Calculate DD in "Ret/DD" from "Open Drawdown" and not from Max Closed Trade DD
Alternative Return/DD ratio indicators would benefit from using the existing "Open Drawdown" instead of Max Closed Trade DD. Margin calls rely on Intraday drawdown. It does not matter that the trade is closed or not in this circumstance.
The problem is that all indicators refering to drawdown in SQX use the calculation of Maximum Closed Trade Drawdown instead of the more realistic "Open Drawdown". Many indicators such as Average drawdown, CAGR/AvgDD%, CAGR/MaxDD, Calmar ratio, fitness... are therefore biaised and unreliable for futures trader and live futures trading. They also constantly distort the ranking.
Please add a new set of drawdown indicators to the next SQX.
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Votes +4
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Project StrategyQuant X
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Type Feature
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Status New
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Priority Normal
History
FD
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innggo
10.07.2023 19:04
(For other readers, the name "Open drawdown" may be misleading as it may mean only the drawdown of the last open trade. That's why I did not take into account this performance indicator before. But it includes Max Intraday Drawdown. It is the worst drawdown number we can get and that is what matters for reliable backtests in my opinion.)
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Votes: +4
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