For the consideration of professionals. - page 8
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I agree with Andrei01: : the tester calculates correctly what the programmer ordered it to calculate, all other questions must be addressed to the programmer, why he put this nonsense in the calculation.
.......... ........
Let me explain:
-- Suppose we run optimization, after which the results analysis unit selects the best TS according to some algorithm and the value of maximal drawdown from the tester is included into calculations.
-- We obtained two results as a result of the optimization (this is just for the sake of understanding)
The figure shows two four-point graphs of equity tests of these two TS.
What do you think the analysis unit will choose?
And what would you choose?
.......... .........
And please -- don't insult your opponent, even if he is right. ))
The analysis unit will select an option according to its algorithm. I would not choose due to the lack of statistics. It's like the question of whether you would choose a surgeon advisor or a championship pirate. It all depends on what kind of trading style one follows, someone likes adrenaline and trades by the hit-or-miss principle, while the other one follows cautious, but low-profit strategy.
What is the purpose of this drawdown measurement anyway? If you count with equity, and which was higher than the balance, then
it is only the lost profit at certain moments and we need to think of a closing algorithm. If the purpose of measuring the drawdown was to estimate when we catch a margin call and then a stop out, then let us calculate from this value (StopOut = Funds / Collateral x 100%, Stop-Out is expressed in %)
What is the purpose of this drawdown measurement anyway? If you count with equity, which was higher than the balance, then
it is only the lost profit at certain moments and we need to think of a closing algorithm. If the purpose of measuring the drawdown was to estimate when we catch a margin call and then a stop out, then let us calculate from this value (StopOut = Funds / Collateral x 100%, Stop-Out is expressed in %)
What is the purpose of this drawdown measurement anyway? If you count with equity, which was higher than the balance, then
it is only the lost profit at certain moments and we need to think about the closing algorithm.
The purpose of measuring maximum drawdown is the correct choice of initial deposit. Before asking a question, I advise you to read the thread carefully, maybe then the question will not arise.
OK. The profitability of the TS depends on the correct choice of the initial deposit.
And finally, figures for comparison: will the profitability of your TS exceed the profitability of bank deposits?
But what does this have to do with maximum equity?OK. The profitability of the TS depends on the right choice of initial deposit.
And the bottom line figures for comparison: will the profitability of your TS exceed the profitability of bank deposits?
But then what does this have to do with maximum equity?If a person who has read the thread does not understand it, then repeating the same thing does not make sense.
If a person who has read the thread does not understand it, there is no point in repeating the same thing over and over again.
If even a visual representation does not contribute to understanding, then further discussion is pointless.
..........
What is the point of this thread anyway?
That you managed to write your own function for calculating the "Maximum drawdown" ala the tester?
Great!
So write another one: where the maxima are updated on balance and the minima are updated on equity.
And there will be a sense of reflection, and there will be no need to repeat eight pages...))
Good luck.
I totally agree with you.
If even a visual representation does not contribute to understanding, then further discussion is useless.
..........
What is this thread about anyway?
That you managed to write your own function for calculating the "Maximum drawdown" ala the tester?
Great!
So write another one: where the maxima are updated on balance and the minima are updated on equity.
It will make you think about it, and you won't have to repeat yourself for eight pages...)
Good luck.
OK, let me explain again. When I choose an initial deposit, I am not thinking about profitability, I am thinking about how not to lose it. The most dangerous situation is when on the first trade the equity falls down to the maximum value that was encountered during testing on historical data (I take an interval of 1 year). If I take an initial deposit amount higher than the maximum equity drop, I can be confident to a certain extent that my deposit will not be lost on the first trade. As the drawdown amount calculated with your method will be smaller, the chance of losing the deposit on the first trade will be higher. Perhaps, your method is suitable for comparing the quality of two Expert Advisors. However, I believe the calculation method based on the maximum equity drop is more suitable for choosing an initial deposit.
This thread was created to discuss the correct way of calculating the maximum drawdown. There are some opposing points of view. Some people think I am right, others think the opposite.
OK, I'll explain it again. When I choose an initial deposit, I am not thinking about profitability, I am thinking about how not to lose it. The most dangerous situation is when on the first trade equity falls down to the maximum value, which was encountered during testing on historical data (I take an interval of 1 year).
The loss does not necessarily occur on the first trade as it may be a series of losses at the very beginning. Since margin call is based on equity, you are going in the right direction in terms of determining the minimum deposit amount, i.e. funds in the account, which must be always kept at an appropriate level to avoid margin call, for example, after withdrawal of profit from the account or at the first drawdown. Also note that there should be a safety margin, i.e. funds in the account should be greater than the estimated minimum shown on historical data.
It is not necessarily a loss on the first trade, because it could be a series of losses at the beginning. And since margin call is based on equity, you are going in the right direction in terms of determining the minimum deposit size, i.e. funds in the account, which must always be kept at an appropriate level to avoid margin call, for example, after withdrawing the profit from the account or at the first drawdown. Also note that there should be a safety margin, i.e. funds in the account should be greater than the estimated minimum shown on historical data.