Page History: Drawdown+ (open/closed equity + moving average)
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Page Revision: 2014/08/29 11:38
This Performance Visualizer displays Drawdown on percentage basis with moving average, based on open (unrealized) and closed closed equity basis (i.e. excluding unrealized profit/loss). Applies to Portfolio Simulation only. Equity and Drawdown curves are semi-transparent near initial values and get most saturated color at their extremes. In other words, the red gets darker as the drawdown deepens, the green gets darker as the profit is higher.
 Open equity drawdown |
As calculating closed equity can get slow for large intraday backtests if the system is creating lots of positions, the closed equity view has been made optional. To enable the closed equity drawdown, first click on "Activate Closed Equity" and re-run the backtest. This will make it stay enabled until manual deactivation.
 Closed equity drawdown |
To switch between open/closed equity drawdown, click on the "Open Equity" / "Closed Equity" button, indicating which mode is currently active.
The moving average period is configurable by either typing it in the text box, or by clicking the "-" and "+" buttons. The average drawdown curve will redraw as you type.
"Largest Drawdown % Including Intraday Excursions"
Starting from v2014.09, visualizer also shows the maximum drawdown % that includes intraday excursion in the drawdown curve. The problem with standard drawdown calculation is that drawdowns for systems that exit the next day at market (e.g., dip buyer that sells at market the next day) tend to show a
considerably less drawdown than they actually experience - like 50% less.
To arrive at a "worst case scenario", the equity curve on which the drawdown calculation is based, undergoes special adjustment: for long positions, we correct the value of the position for the low of the day; likewise for short positions it uses the high of the day.
Note: applies to open equity only.