Include a Ret/Max Intraday DD ratio ?

Hello friends,

I have many strategies with great Ret/DD ratio which is my main fitness function.
But when I look at the strategies I can see that some of them have much bigger Max Intraday Drawdown (= Maximum Adverse Excursion). See uploaded image.

Could it be possible to include a Return / Max Intraday Drawdown ratio in the filters ?
That would save me some time.

Thank you!

Attachments

Include Max Inraday DD dans RetDD.png

(72.29 KiB)

Votes +2
Project StrategyQuant X
Type Feature
Status Fixed
Priority Normal

History

innggo

15.12.2022 14:05

Task created

innggo

15.12.2022 14:06

Voted for this task.

Tamas

16.12.2022 08:54

Status changed from New to Fixed

Hello, you can create your own custom Databank snippet and use it as filter.

Please read a short tutorial how to do it here https://strategyquant.com/doc/programming-for-sq/adding-new-databank-column/

innggo

16.12.2022 10:17

Thank you. I don't know java but I will give it a try.

I think the snippet was already coded in here https://strategyquant.com/codebase/databank-ratios-01032022/

Emmanuel

17.12.2022 13:18

Voted for this task.

innggo

17.12.2022 18:13

I created a Return/ real Max DD ratio. It should appear in https://strategyquant.com/codebase-category/column-databank/

after moderation approval.

Votes: +2