In assessing a strategy's performance, using MaxIDDrawDown is misleading for strategies which use compounding or pyramiding money management schemes. What seems needed is what is already provided in the Performance Summary when using the Portfolio Backtester - that is "Max Portfolio Drawdown (%)". As I am only using Portfolio Backtester to test and optimize strategies on single stocks (not a portfolio) I'd like to be able to get the percent drawdown as part of the strategy performance metrics, which could be used for example when creating custom optimization criteria. Something like MaxIDDDrawDownPercent (the maximum of intraday drawdown as a percentage of intraday equity) would be perfect.
Any suggestions on how I can measure this with existing MC and use it as part of the custom optimization criteria would be most appreciated.
And for the MC folks, please add something like MaxIDDDrawDownPercent to the Strategy Performance metrics.
Thanks.