Wrong Max Intraday Drawdown column  [SOLVED]

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svopex
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Wrong Max Intraday Drawdown column

Postby svopex » 16 Oct 2013

Hello,

i have wrong Incorrect results in the Max Intraday Drawdown column in the Walk-forward Optimization Report.

In the Walk-forward Optimization Report i have -4825$ and
(for the same strategy parameters and period) -3920$ in the
strategy performace report.

Petr
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Andrew MultiCharts
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Re: Wrong Max Intraday Drawdown column

Postby Andrew MultiCharts » 17 Oct 2013

Hello Svopex,

Are you trying to reproduce the OOS results by backtesting the same strategy on the same same period?

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Re: Wrong Max Intraday Drawdown column

Postby svopex » 17 Oct 2013

Yes.
I do WFA and after it i run backtest with the WFA parameters (results) on the same period.

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Re: Wrong Max Intraday Drawdown column  [SOLVED]

Postby Andrew MultiCharts » 21 Oct 2013

  1. Create a chart. Apply your strategy. Perform WF optimization. From the report choose any particular OOS period (its start and end dates).
  2. Close the WFO report. Open the Strategy Properties window to check what is the “Maximum number of bars a study will reference (MaxBarsBack)”.
  3. Go back to chart and find the start date (1 day chart is the easiest way to test). Now you will need to find out what would be the OOS start date – MaxBarsBack. In my case the MaxBarsBack was set to 50, so the OOS start date bar for my 1 day chart should have number 51.
  4. Change the data range settings of the second chart to have the first bar = the OOS start date – MaxBarsBack; and the end date = OOS end date.
  5. Apply the inputs for the OOS period from WFO report to strategy on this adjusted chart.
  6. Call Strategy Performance report and you will see the results match the respective OOS results from WFO report.

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Re: Wrong Max Intraday Drawdown column

Postby svopex » 23 Oct 2013

Ok, I test it and it seem to be ok
(it's a problem set start interval exactly on the right bar, in the platform
I can set up start interval only from date (from day) and calculation depend on the every bar).
Thank for explanation.

I have one improvements for you (for autors of multicharts).
In WFA report is only "Max Intraday Drawdown", this is "Equity" drawdown, a think.
Will be good write to the WFA report close-to-close drawdown too.

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Re: Wrong Max Intraday Drawdown column

Postby Andrew MultiCharts » 24 Oct 2013

In WFA report is only "Max Intraday Drawdown", this is "Equity" drawdown, a think.
Will be good write to the WFA report close-to-close drawdown too.
Please leave us feature request.


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