Monthly Returns & Drawdowns
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Monthly Returns & Drawdowns
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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Re: Monthly Returns & Drawdowns
That does not coincide with the Gross Profit/Loss on the Monthly Period Analysis.My interpretation was: Run up = Gross Profit and Draw down = Gross Loss.
I could be mistaken...
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.
- Henry MultiСharts
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Re: Monthly Returns & Drawdowns
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).
Shaded rectangles demonstrate intramonth period RunUp and DrawDwon for the respective periods (these values are not shown at Monthly Period Analysis tab).
Re: Monthly Returns & Drawdowns
Henry, can you please clarify how the shaded rectangles for intramonth runup and drawdown are calculated. Is MC calculating intramonth runup as follows:
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%.
Code: Select all
runup = 100 * (intramonth_equity_high - intramonth_equity_low) / intramonth_equity_low