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 ?
alex406
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)
rosh
Two articles on this topic:
Independent evaluation of the expert’s test results