Incorrect Max Drawdown
Incorrect Max Drawdown
The "Max Intraday Drawdown" in Optimization report of Portfolio backtester is incorrect.
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- Posts: 100
- Joined: 17 Jul 2009
- Location: Germany
Re: Incorrect Max Drawdown
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
- Andrew Kirillov
- Posts: 1589
- Joined: 28 Jul 2005
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Re: Incorrect Max Drawdown
Confirmed.The "Max Intraday Drawdown" in Optimization report of Portfolio backtester is incorrect.
Bug Priority: Blocker
We will resolve it in the next Beta.
- Andrew Kirillov
- Posts: 1589
- Joined: 28 Jul 2005
- Has thanked: 2 times
- Been thanked: 31 times
- Contact:
Re: Incorrect Max Drawdown
Confirmed.
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
Bug Priority: Blocker
We will resolve it in the next Beta.