Hi Keith, I think you missed what the data is saying.
There were 6 total losing trades, stop lossed at 2% ($200 ea.), for a maximum total loss of all losing trades of ~$1,200. The MDD can't ever reach ~$2,600 if all the losing trades put together only totals $1,200, right? How did it then?, Michael --- In [email protected], Keith McCombs <kmcco...@...> wrote: > > 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." > > > > >
