dubious in Strategy Performance Summary

Questions about MultiCharts and user contributed studies.
davide007
Posts: 6
Joined: 01 Feb 2013
Has thanked: 2 times

dubious in Strategy Performance Summary

Postby davide007 » 22 Feb 2013

Hi,
i can't understand why "Max Strategy Drawdown ( % )" value is 0,01 % ( and 0 % for Long trade and Short Trade ).
This is the screenshot.
dubbio.jpg
(152.85 KiB) Downloaded 373 times
Thank-you
Davide- Italy

User avatar
Henry MultiСharts
Posts: 9165
Joined: 25 Aug 2011
Has thanked: 1264 times
Been thanked: 2957 times

Re: dubious in Strategy Performance Summary

Postby Henry MultiСharts » 22 Feb 2013

Hello Davide,

For Max Strategy Drawdown ( % ) "All trades" is not the sum of "Long Trades" + "Short Trades".
"Long Trades" column shows how your strategy could behave if there were only long trades.
"Short Trades" column shows how your strategy could behave if there were only short trades.
"All trades" shows how the complete strategy has worked.

davide007
Posts: 6
Joined: 01 Feb 2013
Has thanked: 2 times

Re: dubious in Strategy Performance Summary

Postby davide007 » 22 Feb 2013

Hello Davide,

"All trades" is not the sum of "Long Trades" + "Short Trades".
"Long Trades" column shows how your strategy could behave if there were only long trades.
"Short Trades" column shows how your strategy could behave if there were only short trades.
"All trades" shows how the complete strategy has worked.
thank-you.
I don't understand why the percentage of drawdawn is so low...
in each voice ( all, long, short ) is too low.

thank-you

User avatar
JoshM
Posts: 2195
Joined: 20 May 2011
Location: The Netherlands
Has thanked: 1544 times
Been thanked: 1565 times
Contact:

Re: dubious in Strategy Performance Summary

Postby JoshM » 23 Feb 2013

thank-you.
I don't understand why the percentage of drawdawn is so low...
in each voice ( all, long, short ) is too low.
Your return on initial capital is also very low (0,02%) and in line with the low drawdown value (0,01%). What kind of initial capital have you specified in the Strategy Properties window?
"All trades" is not the sum of "Long Trades" + "Short Trades".
"Long Trades" column shows how your strategy could behave if there were only long trades.
"Short Trades" column shows how your strategy could behave if there were only short trades.
"All trades" shows how the complete strategy has worked.
I'm not sure if I understand this. :) If "All trades" is not the sum of "Long trades" + "Short trades", doesn't that also mean that the "Long trades" and "Short trades" column are not a true reflection of how the long and short trades of the strategy (i.e., the whole strategy) would have performed in the past?

In other words, the results in the "Long trades" column are not representative of the actual historical long trades, since that column doesn't take into account the short trades that would have reverted a long position?

If that's true, what's the value of the "Long trades" and "Short trades" column, since they are not reflective of the true strategy, since if they were, "All trades" would equal "Long trades" + "Short trades". Or am I missing something?

User avatar
JoshM
Posts: 2195
Joined: 20 May 2011
Location: The Netherlands
Has thanked: 1544 times
Been thanked: 1565 times
Contact:

Re: dubious in Strategy Performance Summary

Postby JoshM » 25 Feb 2013

"All trades" is not the sum of "Long Trades" + "Short Trades".
"Long Trades" column shows how your strategy could behave if there were only long trades.
"Short Trades" column shows how your strategy could behave if there were only short trades.
"All trades" shows how the complete strategy has worked.
After reading the changelog for MC 8.5 Beta 1 I'm confused. Under "Bugs fixed", it says:
When Slippage or Commission is enabled in Strategy Properties, “All Trades” field did not equal the sum of “Long Trades” and “Short Trades” in the Strategy Performance Report. More info here -https://www.multicharts.com/pm/viewissu ... no=MC-1131.
So apparently it's a bug if the "All trades" column doesn't equal the sum of "Long Trades" + "Short Trades"? Or am I overlooking something obvious?

User avatar
swz168
Posts: 120
Joined: 30 Sep 2010
Location: Germany
Has thanked: 47 times
Been thanked: 32 times

Re: dubious in Strategy Performance Summary

Postby swz168 » 25 Feb 2013

When Slippage or Commission is enabled in Strategy Properties, “All Trades” field did not equal the sum of “Long Trades” and “Short Trades” in the Strategy Performance Report. More info here -https://www.multicharts.com/pm/viewissu ... no=MC-1131.
So apparently it's a bug if the "All trades" column doesn't equal the sum of "Long Trades" + "Short Trades"? Or am I overlooking something obvious?
It is not a bug. In general Total= Short + Long. But for drawdown, that shouldn't be the case. Both Short and Long influence each other.

Simplified Example:
Long Trades:
-10 Lost
-10 Lost
-10 Lost
Drawdown = -30

Assuming you have only 1 Short Trade with +10 Proft (Drawdown is zero), which you generate right after the first Long Trade closed, then the total DD would be -20. So it is not the sum of short and long.


Return to “MultiCharts”