Monthly Returns & Drawdowns

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Mathemagician
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Monthly Returns & Drawdowns

Postby Mathemagician » 03 Jun 2014

I am having trouble interpreting the data on the Monthly Returns & Drawdowns page of the Strategy Performance Report. Does anyone happen to know the definition being used for Run-up and Drawdown?

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MAtricks
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Re: Monthly Returns & Drawdowns

Postby MAtricks » 03 Jun 2014

My interpretation was: Run up = Gross Profit and Draw down = Gross Loss.

I could be mistaken...

Mathemagician
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Re: Monthly Returns & Drawdowns

Postby Mathemagician » 03 Jun 2014

My interpretation was: Run up = Gross Profit and Draw down = Gross Loss.

I could be mistaken...
That does not coincide with the Gross Profit/Loss on the Monthly Period Analysis.

Further, some of the monthly drawdown figures are larger than the strategy's maximum peak to valley drawdown so the usual interpretations (lowest cumulative P/L during the month or largest drawdown during the month) do not apply.

I'm really not sure what to make of these.

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MAtricks
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Re: Monthly Returns & Drawdowns

Postby MAtricks » 03 Jun 2014

Curious behavior..... it looks close, but you're right. The numbers are off.

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Henry MultiСharts
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Re: Monthly Returns & Drawdowns

Postby Henry MultiСharts » 05 Sep 2014

Solid rectangles on Monthly Returns & Drawdowns graph demonstrate Profit per month from Monthly Period Analysis tab.
Shaded rectangles demonstrate intramonth period RunUp and DrawDwon for the respective periods (these values are not shown at Monthly Period Analysis tab).

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Re: Monthly Returns & Drawdowns

Postby orion » 23 Sep 2015

Henry, can you please clarify how the shaded rectangles for intramonth runup and drawdown are calculated. Is MC calculating intramonth runup as follows:

Code: Select all

runup = 100 * (intramonth_equity_high - intramonth_equity_low) / intramonth_equity_low
For example, in a backtest for a certain month, MC shows my monthly runup and drawdown in the performance report as 93% and -36%. From the daily equity printout using my own code in MC, the biggest runup I had in the month was from a low of $1,274,068 on the 3rd of the month to a high of $1,632,497 on the 17th of the month which would be a runup of 28% instead of 93%.


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