Maximum Drawdown Length or Duration

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JoshM
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Maximum Drawdown Length or Duration

Postby JoshM » 26 Jun 2011

Where can I find the length (in time) of the maximum strategy drawdown?

The Performance Report already shows the 'longest flat period' in the 'Time Analysis' tab, but I can't find the length of the drawdown - which is important in my opinion because a low drawdown (which lasts a long time) is worse then a greater drawdown from which the strategy quickly recovers.

Just to be complete, under "maximum drawdown duration" I don't mean the time span in which a strategy drawdown of -1000 is followed by a profit of 1, but the time it takes the strategy to make up the drawdown of -1000.

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Josh

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Re: Maximum Drawdown Length or Duration

Postby khalaad » 27 Jun 2011

Josh,

I do not think the drawdown duration is reported in any of the strategy reports; I figure this out from the Equity Curve and / or List of Trades.

MultiCharts has made great progress in recent years and has attained the quality level that I think it should be the software of chioce for the retail trader, but the strategy reports have not kept pace with the other developments.

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Re: Maximum Drawdown Length or Duration

Postby Stan Bokov » 27 Jun 2011

Dear JoshM,

You can add a feature request for this to our PM.

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Re: Maximum Drawdown Length or Duration

Postby JoshM » 27 Jun 2011

khalaad wrote:I do not think the drawdown duration is reported in any of the strategy reports; I figure this out from the Equity Curve and / or List of Trades.

MultiCharts has made great progress in recent years and has attained the quality level that I think it should be the software of chioce for the retail trader, but the strategy reports have not kept pace with the other developments.

Surprising that it's isn't there, I figured I was simply overlooking it.

I'm not using MultiCharts long enough to comment on their progress with strategy reports, but I agree with you that it could use more important features which it's missing now. I've already made an 'wishlist' what I think is missing, but am waiting till the MC 7 release to see if they're perhaps added.

What other features do you think the Performance Reports are missing?

Stan Bokov wrote:You can add a feature request for this to our PM.

Thanks, will do that together with other feature requests for the Performance Report.

Besides submitting a good formatted feature request in PM, are there any other ways we (meaning, MC users) can help with this integration? Would it help if we provide formulas, literature references, or something else?

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Re: Maximum Drawdown Length or Duration

Postby khalaad » 27 Jun 2011

What other features do you think the Performance Reports are missing?

It has been a while I have referenced these as nowadays I do most of my strategy analysis in Excel. However, here are a few thoughts:

Strategy Optimization Report could (or allow a user to) measure strategy quality on the basis of Sharpe Ratio, or Sunny Harris's CPC Index (PercentProfitable)*(AverageWin/AverageLoss)*(ProfitFactor) to mention just two benchmarks; both of which give better indication of a strategy quality than availible right now. I have attempted many times to enable more than one Custom Criteria; but failed. The Custom Criteria feature is not properly thought through and can only be a combination of the few reserve words. Not even high school level maths. Very definately no Van Tharp's SQN.

Strategy Performance Report could have feature(s) allowing one equity curve trading.

Can't think of anything else right now, but I have a fuller wish-list somewhere in my old hard drive from the time I used to test strategies by optimisations, calibrations, and similar things, and generated lots of MultiCharts reports.

From viewtopic.php?f=1&t=8815
Shouldn't the Multicharts Premium Forum be the place for useful insights and "how to trade that will blow you away"?

I am very much minded to start a SYSTEMATIC TRADING thread. Just need to manage time for it.
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Re: Maximum Drawdown Length or Duration

Postby JoshM » 28 Jun 2011

khalaad wrote:Strategy Optimization Report could (or allow a user to) measure strategy quality on the basis of Sharpe Ratio, or Sunny Harris's CPC Index (PercentProfitable)*(AverageWin/AverageLoss)*(ProfitFactor) to mention just two benchmarks; both of which give better indication of a strategy quality than availible right now.

Thanks for pointing out the CPC Index, hadn't heard about it before. Do you know where I can find more about the CPC Index values (i.e. what is "good") - even though there are some issues with that (what's good for me isn't necessary good for you).

khalaad wrote:I have attempted many times to enable more than one Custom Criteria; but failed.

I haven't dabbled with Custom Criteria before (just sort of discovered them since I haven't spend much time optimizing), so perhaps I misunderstand you, but what do you mean with 'more than one Custom Criteria'? Something like optimizing on Sharpe and CPC Index at the same time? How would that look like?

khalaad wrote:The Custom Criteria feature is not properly thought through and can only be a combination of the few reserve words. Not even high school level maths. Very definately no Van Tharp's SQN.

That would make it not very usable no. As an alternative, you could do a brute force optimization and calculate the SQN for each strategy version, or wouldn't that work in practice?

I couldn't find any examples of a Custom Criteria on this website, but did find an interesting thread here and on BigMike. If anyone has an example, would they be willing to share it? Even if it's basic math we could get a better grip on the syntax. What language does the Custom Criteria use? Looks like C#, but C# itself looks a lot like other languages.

Edit: The language is Microsoft JScript - according to the error messages I already receive. Haha :)

khalaad wrote:Strategy Performance Report could have feature(s) allowing one equity curve trading.

Can't think of anything else right now, but I have a fuller wish-list somewhere in my old hard drive from the time I used to test strategies by optimisations, calibrations, and similar things, and generated lots of MultiCharts reports.

From viewtopic.php?f=1&t=8815
Shouldn't the Multicharts Premium Forum be the place for useful insights and "how to trade that will blow you away"?

I am very much minded to start a SYSTEMATIC TRADING thread. Just need to manage time for it.

A systematic trading thread would be great in my opinion.

Regards,
Josh

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Re: Maximum Drawdown Length or Duration

Postby khalaad » 28 Jun 2011

Josh,

I read a brief paragraph about CPC Index in TS Made Easy! by Sunny J. Harris, Bill Cruz. I thought it an improvement on (PercentProfitable)*(AverageWin/AverageLoss) I used to calculate in Excel as a matter of course. Sunny is of the opinion the CPC Index should be greater than 1.2.

There should be more information here:
http://www.moneymentor.com/
which is Sunny Harris's website.

I personally prefer SQN; utterly beyond Custom Criteria.

I find it rather difficult to write long posts with quotes, so I am going to cover different matters separately.

Khalid
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Re: Maximum Drawdown Length or Duration

Postby khalaad » 28 Jun 2011

I haven't dabbled with Custom Criteria before (just sort of discovered them since I haven't spend much time optimizing), so perhaps I misunderstand you, but what do you mean with 'more than one Custom Criteria'? Something like optimizing on Sharpe and CPC Index at the same time? How would that look like?

I no longer optimise. But when I did I would generate an Optimization Report, convert it into an Excel file and then use the Excel "Sort" function to zero in on parameters which satisfied the most numer of criteria, for instance (PercentProfitable)*(AverageWin/AverageLoss) and Return on Account and Return on Maximun Strategy Drawdown. I found the setting which was top of the list for more than one criteria stood up better than others in forward testing.

I couldn't find any examples of a Custom Criteria on this website, but did find an interesting thread here and on BigMike. If anyone has an example, would they be willing to share it? Even if it's basic math we could get a better grip on the syntax. What language does the Custom Criteria use? Looks like C#, but C# itself looks a lot like other languages.
This Forum is largely a troubleshooting support, and I dare say BigMike has better MultiCharts stuff.

I am a para-programmer, and cannot be certain, but I think Custom Criteria uses some sort of Microsoft script. Example to follow.

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Re: Maximum Drawdown Length or Duration

Postby khalaad » 28 Jun 2011

This was very kindly written by Chris of ABC Trading:

The actual formula (Win Multiple = % of profitable Trades * (Average Winning Trade / Average Losing Trade) would result in a negative value, that's why I changed it to:

Win Multiple = % of profitable Trades * (Average Winning Trade / -Average Losing Trade)

To avoid problems with a division by Zero Error, I added the check to ensure the Average Losing Trade is not 0:

//# Win Multiple -- Win Percentage * Average Win/Average Loss
if(StrategyPerformance.AvgLosingTrade != 0){
return StrategyPerformance.PercentProfitable * (StrategyPerformance.AvgWinningTrade/-StrategyPerformance.AvgLosingTrade);
}

However, I failed to make it work as a Custom Criteria! Thank God for Excel!!
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Re: Maximum Drawdown Length or Duration

Postby khalaad » 28 Jun 2011

That would make it not very usable no. As an alternative, you could do a brute force optimization and calculate the SQN for each strategy version, or wouldn't that work in practice?

I have given up on optimisation. Instead I kept looking until I found a setting which in forward tests returned average SQN of 3+ across a wide variety of instruments and a range of time frames.

However, I have only recently started live systematic trading and plan to stick to the parameters which stood best in forward testing, and manage the inevitable drawdowns on the basis of equity curve trading.

So, the real test is still ahead of me.

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Re: Maximum Drawdown Length or Duration

Postby JoshM » 28 Jun 2011

Thanks for the further info about the CPC Index and that Custom Criteria example - very helpful! :)
khalaad wrote:I no longer optimise. But when I did I would generate an Optimization Report, convert it into an Excel file and then use the Excel "Sort" function to zero in on parameters which satisfied the most numer of criteria, for instance (PercentProfitable)*(AverageWin/AverageLoss) and Return on Account and Return on Maximun Strategy Drawdown. I found the setting which was top of the list for more than one criteria stood up better than others in forward testing.

This Forum is largely a troubleshooting support, and I dare say BigMike has better MultiCharts stuff.

I am a para-programmer, and cannot be certain, but I think Custom Criteria uses some sort of Microsoft script. Example to follow.

I completely agree with you - the Optimization Report needs to provide a "multi dimensional" look at the optimization results, because as you've stated, focusing on one aspects only leads to the criteria least fitted for real-time trading (i.e. the one most overfitted) if it's isn't accompanied with other good performance metrics.

khalaad wrote:I have given up on optimisation. Instead I kept looking until I found a setting which in forward tests returned average SQN of 3+ across a wide variety of instruments and a range of time frames.

However, I have only recently started live systematic trading and plan to stick to the parameters which stood best in forward testing, and manage the inevitable drawdowns on the basis of equity curve trading.

So, the real test is still ahead of me.

That's not a bad average SQN. ;) I prefer using the 'Base SQN', which is the SQN without the TotalTrades component. The rationale behind this is that there always is a way to increase the number of trades (by trading more markets/instruments), so that if the Base SQN is good that's even an stronger indicator of a good strategy (in my opinion).


Given up on optimization? Because of the problems with Custom Criteria or the limited Optimization Reports?

I've just tried some Custom Criteria variations and this is an incredibly great feature (thanks MultiCharts!). I'm quite enthusiastic about it, especially since it looks so much like C# with which I have 'some' experience. I wont go as far as saying it's easy, but it's a lot easier and doable then I at first hand thought. :) If I played some more with it, I will post my findings (which won't be rocket science, that's for sure) in a thread.


Good luck with your systematic trading! :)

Josh

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Re: Maximum Drawdown Length or Duration

Postby JoshM » 29 Jun 2011

Just want to note for readers following this thread that a topic about Custom Criteria can be found here: viewtopic.php?f=5&p=41610

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Re: Maximum Drawdown Length or Duration

Postby khalaad » 29 Jun 2011

Given up on optimization? Because of the problems with Custom Criteria or the limited Optimization Reports?

Josh,

Nothing to do with any perceived, or actual, MultiCharts shortcomming. In fact I am very MultiCharts-dependant; I doubt I would have started live systematic trading without MultiChart!

The reasons are many, but the all come down to my discomfort when results are not repeatable: in forward tests of an optimised stratrgey would invariably produce significantly reduced System Quality Ratio ("Base SQN"); which I found unacceptable.

Now my System Quality Ratios in live trading (so far) are quite similar to those produced in back tests and forward tests; which were also quite similar to each other.

Khalid
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