Add drawdown calculation of the equity also not just for the balance

Add drawdown calculation of the equity also not just for the balance.
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  • Votes +14
  • Project StrategyQuant X
  • Type Feature
  • Status Refused
  • Priority Low

History

k
#1

Karish

02.07.2018 17:29

Task created

k
#2

Karish

09.07.2018 15:10
Any confirmation? 
MF
#3

Mark Fric

10.07.2018 10:35

Priority changed from Normal to Low

sorry, I don't see as this important, 


It is a low priority feature that could be developed sometime later, but not right now.

k
#4

Karish

10.07.2018 12:02
How can it be un-important?, The equity is the main thing in every strategy and money management,

the equity should be the main thing to focus on, because when you have an open trade the equity is running and recalculating, the balance is showing it self only when the trade is closed,


equity should be considered higher priority then the balance, please reconsider.

k
#5

Karish

10.07.2018 12:11

the Equity calculations should be added, whats the point of calculating only the Balance's Drawdown if the strategy's Equity Drawdown is higher then the Balance's Drawdown?.....


i mean lets say we have a Strategy that profited 100% for all the history we tested it on,

the DD% in Balance was MAX DD%=20,

but the DD% in Equity was MAX DD%=80, how could you not consider to add Equity calculations?, i mean that is super super important!, please re consider.

thanks again.

FB
#6

lumbrjack

01.10.2018 23:53
Voted for this task.
FB
#7

lumbrjack

01.10.2018 23:57

Attachment Screen Shot 10-01-18 at 0652 PM.png added

Mark, here a example of a strategy with no or wide take profit. The str balance was uploaded to a chart software and I use the MFE/MAE to calculate the high and lows.

As we can see, there is big up and down equity and the SQ will not see the equity DD. So, I think that is important calculate DD by equity.



k
#8

Karish

02.10.2018 07:11
Voted for this task.
k
#9

Karish

02.10.2018 07:20

Attachment 4c34bd8b9c575f1aa602975a9c75209ae80050b2.png added

Attachment images.png added

Attachment images.jpg added

Attachment f929f80e1ab5ac30ad4ea1ecc10073d24553fc7e.png added

Attachment Tester della strategia 10.jpg added

Examples of why we MUST have calculations based on Equity!,

This is a very crucial feature that SQ must implement!,

We cannot see the true picture behind the scenes!,

if the Balance's Max DD% is for say 20% but the Equity's Max DD% is 60%,

What do you think is the Max DD% of the strategy then?

Off-course its the Max DD of the Equity of 60% that is the real Max DD% of the strategy!!

so why everything is based on the balance? SMH O_O

h
#10

hankeys

02.10.2018 07:56
Voted for this task.
IH
#11

clonex / Ivan Hudec

02.10.2018 08:05
Voted for this task.
c
#12

cullo6

02.10.2018 12:53
Voted for this task.
l
#13

ludvick

02.10.2018 13:45
Voted for this task.
k
#14

Karish

02.10.2018 15:36
Thank you for contributing guys, it is very important feature that must be included, this is a very serious subject. 
d
#15

David Caliano

02.10.2018 18:30
Voted for this task.
KW
#16

Sean

03.10.2018 16:20
Voted for this task.
b
#17

bentra

30.10.2018 00:07
Voted for this task.
e
#18

eastpeace

07.11.2018 17:25
Voted for this task.
m
#19

mabi

06.12.2018 04:58
Voted for this task.
m
#20

mabi

06.12.2018 05:01
This is very useful indeed. Especially if this info could be read by QA and used when building portfolios.
m
#21

mabi

06.12.2018 05:45

Attachment 1.jpg added

Not sure I would like to trade attached demo portfolio since the EQ drawdown is so large and it will be even larger in the future for sure. Equity drawdown is larger then balance drawdown it would be better if it was reverse since floating EQ is the reality.
RL
#22

rickliao

06.12.2018 06:30
Currently the equity curve in SQX is closed trade to closed trade. 

I suggest as well as adding highest open trade to lowest open trade to plot equity curve, and compute its DD and MDD.

It can make risk assessment be more reasonable. 

TS and MC provide these two methods in backtest report.

RL
#23

rickliao

06.12.2018 06:31
Voted for this task.
MF
#24

Mark Fric

06.12.2018 07:59

Status changed from New to Refused

it is already there, turn on MAE/MFE + Daily equity in Trading options, and it will compute dynamic equity and MAE/MFE per trade or day. You ca then see it in chart.


It is turned off by default because it slows down the backtest.

m
#25

mabi

06.12.2018 13:20
Great ! So then it would be easy to calculate the max open Equity drawdown as the request was about so it can be used to filter out strategies automatically during retest.
RL
#26

rickliao

06.12.2018 14:33

Attachment Daily.jpg added

Attachment MAE.jpg added

Hi Mark, I have tried it as you said, but it looks the same, nothing change. Please see attached screenshots.

Maybe something wrong with my settings, can you please show me how to do it?



N
#27

nathan

06.12.2018 14:36
Voted for this task.
i
#28

Ilya

16.12.2018 21:02
Voted for this task.

Votes: +14

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