Michael, Keith got it right. I believe that you have missed his point. Your portfolio (including winners and losers) collectively reached a $2600 loss before eventually recovering to your final equity level.
Do not confuse the closed trade statistics with the bar by bar running statistics. The trades that ended as losers might have been winners at the time of MDD, whereas those that ultimately ended as winners might have been big losers before bouncing back, etc. Bottom line: MDD is independent of closed losers. Plot your equity and identify the date of MDD on the chart. Then look at the charts for each of the positions that were open at that date to see which symbols were dragging equity down and which were pulling it up. Mike --- In [email protected], "michaels_musings" <michaels_musi...@...> wrote: > > 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 <kmccombs@> 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." > > > > > > > > >
