MT5 Strategy tester, Drawdown calculation multi currency trading icw with TesterWithdrawal() peculiarity

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I am trying to make sense of the draw down calculation. The optimisation screen shows 3 passes, 1 for each symbol seperate and 1 trading both symbols. 

Now, both EURUSD and ALL pair pass trigger stop out. Yet, the ALL pass shows in the optimisation screen a  draw down of 58%. How is this possible?

Note, that the code uses TesterWithdrawal() in order to keep a flat balance. Not sure if this has something to do with it. However i can not seem get this phenomenon without it. Also i do not know if this behavior is new or also at play in older builds. The screenshot is produced with build 1940.

I hope someone is able to explain this, and whether this is how it suppose work, or maybe a bug of some sort, though optimisation with regard to draw down seems to me pretty useless considering the draw down mentioned on the optimisation screen does not show the worse case. 

Any insight would be appreciated.

To reproduce, the code used is attached.

Files:
NightScalper.mq5  6 kb
 
Enrique Dangeroux:

I am trying to make sense of the draw down calculation. The optimisation screen shows 3 passes, 1 for each symbol seperate and 1 trading both symbols. 

Now, both EURUSD and ALL pair pass trigger stop out. Yet, the ALL pass shows in the optimisation screen a  draw down of 58%. How is this possible?

Note, that the code uses TesterWithdrawal() in order to keep a flat balance. Not sure if this has something to do with it. However i can not seem get this phenomenon without it. Also i do not know if this behavior is new or also at play in older builds. The screenshot is produced with build 1940.

I hope someone is able to explain this, and whether this is how it suppose work, or maybe a bug of some sort, though optimisation with regard to draw down seems to me pretty useless considering the draw down mentioned on the optimisation screen does not show the worse case. 

Any insight would be appreciated.

To reproduce, the code used is attached.

Your comments doesn't match your screenshot. You said ALLwas stopped you, but it shows a profit of 921.05 ? Seems only EURUSD was stopped out in your results.

Are you sure your screenshot are the right settings used to produce these results ? I have very different results :

Build 1145.

See here for explanation on MT5 ST drawdown calculation.

EDIT : I was confused but your Withdrawal, it was well stopped out.

Files:
enrique.set  2 kb
 
Alain Verleyen:

Your comments doesn't match your screenshot. You said EURUSD was stopped you, but it shows a profit of 921.05 ?

Also are you sure your screenshot are the right settings used to produce these results ? I have very different results :

Build 1145.

See here for explanation on MT5 ST drawdown calculation.

Tried with deposit in EUR, similar results.

You probably didn't use Trade Volume = 1 for your tests ?

By the way, what is "icw" ? Please don't use all these not so obvious acronyms.

 

Thank you Alain for taking the time to reply.

I used 1 lot for the test. Maybe result is different due to different broker. My test was performed on RoboForex demo.

I also read the docs before posting. But docs are not clear and maybe not up to date or suffer language translation problems.

According to the docs:

While on my screenshot it is clear the Maximal is shown in the drawdown column instead.

Also it states withdrawal is taken into account, but i can not find exactly how it is taken into account.

My simple minded logic says that max drawdown is max drawdown, whether it is absolute or relative. Clearly it is not the case as the absolute may be higher but is not taking into account as such.

I guess i have to resort to custom criterion in order for the tester to behave to my needs. 

Thanks again Alain.

[edit] icw = in combination with. The subject title started to become a little long. Ill try to steer clear from acronyms. [/edit]
 
Enrique Dangeroux:

Thank you Alain for taking the time to reply.

I used 1 lot for the test. Maybe result is different due to different broker. My test was performed on RoboForex demo.

Mine was on Alpari. That's a big difference, as you have around 3 times more trades and completely different results. I will try on Roboforex by curiosity.

I also read the docs before posting. But docs are not clear and maybe not up to date or suffer language translation problems.

According to the docs:

While on my screenshot it is clear the Maximal is shown in the drawdown column instead.

Also it states withdrawal is taken into account, but i can not find exactly how it is taken into account.

My simple minded logic says that max drawdown is max drawdown, whether it is absolute or relative. Clearly it is not the case as the absolute may be higher but is not taking into account as such.

Well you are right, it's not clear. The link I provided was for Balance DD on live trading history.

I guess i have to resort to custom criterion in order for the tester to behave to my needs. 

Thanks again Alain.

[edit] icw = in combination with. The subject title started to become a little long. Ill try to steer clear from acronyms. [/edit]

Thanks.

 

Checked with Roboforex, build 1946.

Again the results are completely different.

I triple checked that all settings are the same.

This time there is even a drawdown of 110% !

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