max portfolio drawdown issue

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alko
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Joined: 01 Sep 2016

max portfolio drawdown issue

Postby alko » 19 Jul 2020

Hello all,

I just noticed that when backtesting a portfolio of strategies i got Max Portfolio Drawdown less than Max Portfolio Close to Close drawdown. I always thought that Max Portfolio Drawdown should be the biggest of these two. In this portfolio, I have a minute futures and one day futures in the same portfolio. Does this result is such discrepencies?

Thank you

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Svetlana MultiCharts
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Re: max portfolio drawdown issue

Postby Svetlana MultiCharts » 21 Aug 2020

Hello alko,

In Portfolio it is possible that Close to Close Drawdown is bigger than Max Portfolio Drawdown.
Max Portfolio Drawdown is calculated according to X and Y axes, where X is bar time, Y is OpenEquity sum of all portfolio symbols at the moment of time. As we take into account all Portfolio instruments at once, it may happen that trades on various instruments are very different, i.e. one instrument is in profit, and another is in loss, and they compensate each other.
Close to Close Drawdown is according to X and Y axes, where X is trade number according to the portfolio list of trades, Y is CumProfit. Thus, the trades are analyzed sequentially according to the trade numbers, and they do not compensate each other, as Max Portfolio Drawdown.


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