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Home/ Questions/Q 4720
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alex406
alex406

alex406

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alex406
Asked: December 27, 20202020-12-27T05:28:40+00:00 2020-12-27T05:28:40+00:00In: Forex Expert Advisors

how is the maximum drawdown calculated in the tester

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Good afternoon.

I want to clarify how the maximum drawdown of equity is calculated in the tester( or with the help of the function testerstatistics (STAT_EQUITY_DD)). If, for example, I have a period H1, then equity and drawdown are calculated every hour ? It turns out that the peak value (within the interval) is not taken into account ? That is, in fact, the drawdown ( at the moment) will be greater than indicated in the tester ?

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    1. alex406

      alex406

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      alex406
      2020-12-27T05:28:49+00:00Added an answer on December 27, 2020 at 5:28 am

      Thanks for the links

      I’ll take a closer look at the first one, but I found an inaccuracy in the second one :

      Written :

      Maximum drawdown, the maximum drawdown is the maximum difference between one of the local upper extremes of the balance change chart and the subsequent lower extremes:

      MaximalDrawDown = Max of (Maximal Peak – next Minimal Peak) In my opinion, this is incorrect, because the value in the report matches the function TesterStatistics(STAT_EQUITY_DD) – I checked. That is, the report does not indicate the drawdown of the balance, but the drawdown of equity. But I also have a suspicion that this equity is considered at the end of a given timeframe, without taking into account the peaks inside (maybe not right, I want to check)

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    2. rosh

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      rosh
      2020-12-27T05:28:44+00:00Added an answer on December 27, 2020 at 5:28 am

      Two articles on this topic:

      • Independent evaluation of the expert’s test results

      • What do the numbers in the expert testing report mean?
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