Maximal drawdown or percent ?
- Maximal Drawdown — the lowest value of the maximal drawdown;
- Drawdown Percent — the lowest value of the relative drawdown (in percentage terms);
Alain Verleyen:
Maximal drawdown or percent ?
Well, percent is one way to see it, but not what I am looking for.
Lets say that I have a system, with one parameter;
Where value 1 gives one huge profit the last day => Total profit 10%
And value 2 gives alot of small profits = > Total profit 10%
I want a method to in the optimization report find a way to see that value 2 gives better consistancy, that is, the most linear balance / profit curve.
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Hi
Have search a lot, but unable to find any answer..
I want to make an optimization towards highest (and I hope I use the correct terminology) regression. That is, the most “strait” Balance / Equity curve. To not trade at all would of course give highest value :D.. Any suggestion?
Best Regards / Tobias