Systematic traders! Hear ye! Hear ye!

Volker Butzlaff · Mar 18, 2011

Quote from intradaybill:

Drawdown cannot have two extreme values with one being negative and the other being positive. Positive drawdown doesn't make sense in any science. Also, there are no equity curves with zero drawdown, except if we are talking straight line equity wth zero curvature everywhere. Even if you have a zero start account, drawdown cannot be positive...

@intradayBill,

hmm - you are sometimes really a little bit "dim-witted"...

I've explained the two models clearly:

a) "account DD" based on a zero start model. If the simulation curve never touches the zero line, there is no negative "account DD" (it's a possible case)

b) a temporary "maxDD" which is independent of the start point. This last model is used usually benchmarking trading systems and it's also implemented in the software (chechboxing that second option)

The objective for implementing the fist model was to show, that the trading account in a simulation run mustn't drive in negative numbers. Perhaps I've selected a confusing word combination (my mother language is german), but all the customers understand the purpose and the difference between the two models.

I hope you finally understand this too!

bye,
zentrader

goodgoing · Mar 19, 2011

Quote from Volker Butzlaff:

The objective for implementing the fist model was to show, that the trading account in a simulation run mustn't drive in negative numbers. Perhaps I've selected a confusing word combination (my mother language is german), but all the customers understand the purpose and the difference between the two models.

If you are allowed by a crazy broker I suppose to run a negative equity curve, crossing the zero equity line, or even an upward slope in the curve, amounts to making a profit, not having a positive drawdown.

I think you should display that part of the drawdown as equity, maybe with a different color. The other posters were correct to point that out. Some of your customers may understand that but many that aren't your customers won't.

intradaybill · Mar 21, 2011

Quote from goodgoing:

If you are allowed by a crazy broker I suppose to run a negative equity curve, crossing the zero equity line, or even an upward slope in the curve, amounts to making a profit, not having a positive drawdown.

I think you should display that part of the drawdown as equity, maybe with a different color. The other posters were correct to point that out. Some of your customers may understand that but many that aren't your customers won't.

+1

I agree.