Add Maximum Temporary DD

SQ shows the maximum effective (closed trades) DD but for many traders the real important KPI is the maximum temporary DD, i.e. the maximum difference between Equity and Balance ever experienced. As SQ knows the open and close prices as well as all prices in between (depending on resolution of historical data) it shouldn't be a big step and effort to add this critical KPI to trade list, data bank summary as well all other places.



Thanks for your attention.

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  • Votes +4
  • Project StrategyQuant X
  • Type Feature
  • Status Fixed
  • Priority Normal

History

l
#1

Blade Runner

07.07.2019 09:33

Task created

h
#2

hankeys

07.07.2019 21:13
Voted for this task.
M
#3

MKquant

16.07.2019 18:14
Voted for this task.
b
#4

bentra

09.08.2019 01:35
Voted for this task.
b
#5

bentra

09.08.2019 01:35
Open trade DD (and profit) is kind of important to see. I haven't seen a platform that does not track or chart this before SQ so it's kind of weird that it's missing. It would be nice to see open trade PL on the chart too.
KL
#6

kainc301

11.08.2019 00:48
Voted for this task.
l
#7

Blade Runner

12.08.2019 11:23
Following bentra's comments, I would like to also add that it's important to see the temporary DD in the equity section as one could see in which period or periods would the DD be accumulating. One option would be to use the already existing DD chart, with a option selector to select between absolute DD (closed trades) or temporary DD (coming from closed trades + open trades).
h
#8

hankeys

12.08.2019 13:13
but how do you want to be plotted this kind of drawdown, when eq curve has only closed orders, but current drawdown is changing with every tick, or minute...?
l
#9

Blade Runner

12.08.2019 13:29


hankeys:


We have to separate two situations: 


a) View with X-axis = time

b) View with X-axis = closed trades


Regarding a) I don't see where there would be any problem, i.e. assuming some kind of minimum default time interval, as for instance daily (maximum daily pending DD), weekly or whatever. Obviously it's of no interest to know the evolution of temporary DD, tick by tick or minute by minute. The need is to know how the coarse evolution of the overall DD (i.e. considering closed and open trades).So taking the maximum closed DD for each day for instance, there would be no problem in plotting this KPI.


Regarding b) 

SQX has the information (according to resolution of the uploaded data, like 1M for instance) what was the maximum DD between two closed orders.


So take closed ordes 1 and 2 (2 was closed after 1). SQX knows what was the maximum temporary DD between moments of closing of orders 1 and 2. 


At the X-axis value corresponding to the closing of order 2, that maximum value of temporary DD that happened between orders 1 and 2  is ploted. So at each moment an order is closed, the plotted DD at that X-axis value corresponds to the maximum DD observed between that order and the last one. This is one possibility, but there are others. Again no problem whatsoever, as long as it's explained how the DD plots should be read/interpreted.



MF
#10

Mark Fric

12.08.2019 14:10

Status changed from New to Fixed

Attachment equity_maemfe.jpg added

Attachment equity_daily.jpg added

Attachment trading_options.jpg added

Attachment BiggestOpenLoss.sxp added

guys, it is already there. You only need to turn on MAE/MFE computation in Trading options, it is turned off by default because it slows down backtests by 10-20%.


Then you can see MAE/MFE and daily open equity in equity chart. It is also not difficult to create a snippet to display worst open DD (biggest MAE) in the databank column, I'm attaching it as well (.sxp file).

You can use Import functionality of Code editor to import and compile it.

Note that it will work only if MAE/MFE tracking is on.


This snippet will be a standard part of SQ X from the next build.


Votes: +4

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