Michael --
If you invest $10,000 in a stock and it drops to $6,000, but then
returns to $9,000, and then you sell it, that stock has experienced a
$4,000 MDD, but only a $1,000 loss.
-- Keith
On 8/16/2010 16:25, michaels_musings wrote:
Hi All,
This has me baffled. I run an optimization and I end up with the Max.
System Drawdown greater than the listed Losers Total Loss. Here's the
fields in question.
Capital 100,000.00
Trade Size 10,000.00
Net Profit 5,315.42
Max. Trade Drawdown -2,615.84
Max. Trade % Drawdown -26.15
Max. Sys Drawdown -2,615.84
Max. Sys % Drawdown -2.49
# Trades 17.00
Avg Profit/Loss 312.67
Avg % Profit/Loss 3.13
# of winners 11.00
% of Winners 64.71
W. Tot. Profit 6,548.24
W. Avg. Profit 595.29
W. Avg % Profit 5.95
# of losers 6.00
% of Losers 35.29
L. Tot. Loss -1,232.81
L. Avg. Loss -205.47
L. Avg % Loss -2.05
Percent Profit 0.06
Percent Stop Loss 0.02
Net Profit calculates correctly from # Trades, # of winners, W. Avg %
Profit, # of losers, and L. Avg % Loss.
So why are Max. Trade Drawdown and Max. Sys Drawdown greater than
Losers Total Loss??? Isn't that technically impossible?
Regards,
Michael
>From AB Guide:
Max. trade drawdown - The largest peak to valley decline experienced
in any single trade
Max. system drawdown - The largest peak to valley decline experienced
in portfolio equity
L. Tot. Loss - No Entry. Expected definition: "Total loss from all
losing trades."
