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All Drawdown Reporting

I have generated a number of strategies without SL or TP and tried to use drawdown as the exit strategy. Having checked all the Drawdown options available in the filtering options, I see none of these report the true drawdown. As is the case with the attached stategy 3.1.143.sqx . You can see on the GBPUSD_M1 on 30M time frame it shows ridiculously small DDs in all columns. The truth is that the drawdown is huge, around $16,000 at the max but with many other instances of over $1k. 



I have seen in many forums that this is a problem because your backtests show very good smooth rise with small dips whereas the true equity chart is far from that as can be seen with the attached which has MAE and MFE data. Why is there no way of using the MAE/MFE to filter as this would knock the PASSED strategies down to a third or more of what they are incorrectly passing.. 


I hope I am incorrect because I bought this program in good faith of the backtests being completely true and honest in their reporting.
Please let me know asap as I did want to use a few of the generated strategies but my confidence has been eroded by what I've seen.

Attachments
Strategy 31143.sqx
Strategy 31143.sqx
(54.49 KiB)
Drawdown on Strategy 11143.jpg
Drawdown on Strategy 11143.jpg
(2.38 MiB)
GBP Usd showing ACTUAL DD.png
GBP Usd showing ACTUAL DD.png
(223.54 KiB)
  • Votes +2
  • Project StrategyQuant X
  • Type Bug
  • Status Refused
  • Priority Normal

History

GS
#1

gsethi

19.09.2019 13:11

Task created

MF
#2

Mark Fric

23.09.2019 15:07

Status changed from New to Refused

you are right that Drawdown in equity chart is computed from closed trades. It doesn't show biggest open loss.


But you can use MAE/MFE or daily equity for this.


We also added new databank column "BiggestOpenLoss" in version 123 that you can use in both databank and in your filtering conditions.


Alsom, your strategy doesn't use StopLoss at all. I recommend you to make SL required in building blocks, otherwise you'll be getting this kind of strategies.

h
#3

hankeys

23.09.2019 16:22

Attachment DD.jpg added

and why not to add some graph of open drawdown, because how can i use "biggestopenloss" - compare with what?
VO
#4

GRoundofInferno

23.09.2019 16:31
Also Biggest open loss does not count for portfolios. So we do not know the biggest aggregated open loss for portfolio when merging strategies to portfolio
GS
#5

gsethi

23.09.2019 16:43
Thank you for your answers but I have tried to use BiggestOpenLoss and it is reporting back 0 in every strategy. Also, can I ask, if I have a SL set at 200, how is it possible to get a drawdown of $2980 as I have in one of the strategies?
h
#6

hankeys

23.09.2019 19:00
to compute biggestopenloss you need to turn on COMPUTE MAE/MFE in trading options
VO
#7

GRoundofInferno

23.09.2019 22:12
Are Max open drawdown in QA and Biggest open loss in SQX the same thing? If yes it is reasonable to name them in the same manner. 
VO
#8

GRoundofInferno

23.09.2019 22:12
Voted for this task.
MF
#9

Mark Fric

24.09.2019 08:46
Biggest open loss is computed only if you turn on "Compute MAE/MFE" in Trading options as hankeys said.


And they are displayed on equity chart as MAE/MFE or daily equity lines. There's no need to display separate open drawdown subchart.


We cannot compute open loss in portfolios, because SQ doesn't retest the portfolios - it only combines the results of individual strategies. So we don't know what would the real open loss be if portfolio traded all strategies simultaneously.


QA tries to simulate open balances usign historical prices, it is little bit less exact than SQ, because it doesn't really "trades" the startegy. 

You are right that naming could be unified, we'll rename it to Max Open Drawdown in the next version


m
#10

mikeyc

28.09.2019 12:59
Voted for this task.
m
#11

mikeyc

28.09.2019 13:01
Please see this post about open daily equity and portfolios.


https://strategyquant.com/forum/topic/4416-sq4-early-preview/page/52/#post-248344


Each individual strategy in a portfolio has a daily equity chart.  I cannot see any reason why they cannot be combined to produce a daily equity chart for a portfolio.  The portfolio daily open equity is simply the sum of these charts.


Without knowing this the program is useless.

Votes: +2

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