Incorrect Max Drawdown

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ppan
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Incorrect Max Drawdown

Postby ppan » 28 Jul 2009

The "Max Intraday Drawdown" in Optimization report of Portfolio backtester is incorrect.

geektrader
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Postby geektrader » 28 Jul 2009

You should provide some more details and possibly a screenshot, otherwise I am sure noone can help or fix the bug if it is a bug if you don´t provide a bit more detailed description.

Spaceant
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Re: Incorrect Max Drawdown

Postby Spaceant » 28 Jul 2009

The "Max Intraday Drawdown" in Optimization report of Portfolio backtester is incorrect.



I have found that the "Max Portfolio Close to Close DrawDrown" is somewhat incorrect. The figure shown in the report seems over-state the actual number.

When I have time, I will post the finding for discussion ....

Sa

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Andrew Kirillov
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Re: Incorrect Max Drawdown

Postby Andrew Kirillov » 29 Jul 2009

The "Max Intraday Drawdown" in Optimization report of Portfolio backtester is incorrect.


Confirmed.

Bug Priority: Blocker

We will resolve it in the next Beta.

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Andrew Kirillov
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Re: Incorrect Max Drawdown

Postby Andrew Kirillov » 29 Jul 2009


I have found that the "Max Portfolio Close to Close DrawDrown" is somewhat incorrect. The figure shown in the report seems over-state the actual number.

When I have time, I will post the finding for discussion ....

Sa


Confirmed.

Bug Priority: Blocker

We will resolve it in the next Beta.


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