Understanding Annual Drawdown % in Performance Report
Understanding Annual Drawdown % in Performance Report
When I look at the strategy performance report for one strategy, it shows Max Drawdown of about 51% on the Performance Summary page but on the Annual Returns and Drawdown (%) page it shows the drawdown for one year as much as 902%. This doesn't line up with the equity graph. How is it calculating and coming up with this 902%? Is it adding up every individual drawdown for that year to get a total?
-
Kate MultiCharts
- Posts: 598
- Joined: 21 Oct 2020
- Has thanked: 9 times
- Been thanked: 148 times
Re: Understanding Annual Drawdown % in Performance Report
Hello ZaphodB,
Max. Strategy Drawdown displays the greatest loss drawdown, from the previous highest equity run-up, bar to bar looking across all trades, during the specified period. If a new bar equity run-up high occurs, the low equity value is reset to 0 so that the next maximum drawdown can be calculated from that point.
Returns & Drawdowns display the sum of the values, not the greatest values. It’s an approximate sum of Drawdown values from the List of Trade for the corresponding period.
So, the difference might be expected.
Max. Strategy Drawdown displays the greatest loss drawdown, from the previous highest equity run-up, bar to bar looking across all trades, during the specified period. If a new bar equity run-up high occurs, the low equity value is reset to 0 so that the next maximum drawdown can be calculated from that point.
Returns & Drawdowns display the sum of the values, not the greatest values. It’s an approximate sum of Drawdown values from the List of Trade for the corresponding period.
So, the difference might be expected.