Michael, One of us is not understanding the other. You said "Loser total loss can't be less than max system drawdown (could be equal, but never less)."
Keith's example is proof that loser total loss can indeed be less than max system drawdown. Loser total loss is calculated based on the final closing value of the trade(s) whereas max system drawdown is based on the running value of the trade(s). The number of symbols and/or open trades is irrelevant. Repeating Keith's example with more detail: Bar x Spend 100% equity to enter ABC at $10,000 Bar y ABC (and thus total equity) drops to $6,000 Bar z Exit ABC at $9,000 Loser total loss (bar z) = $9,000 - $10,000 = -$1,000 Max system drawdown (bar y) = $10,000 down to $6,000 = -$4,000 So, yes, loser total loss can be less than max system drawdown (in the sense of being less negative, an opposite example can also be shown where loser total loss is less in the sense of being more negative than max system drawdown). However, if you feel that you've solved your problem, then no need to reply further. Mike --- In [email protected], "michaels_musings" <michaels_musi...@...> wrote: > > Hi Mike, > > Actually I didn't include enough original data to posit the question and my > rebuttal to Keith correctly :( > > The system I'm playing with trades/optimizes a single stock at a time, and is > only able to have one trade open at a time (e.g. it must close out a buy with > either a profit or loss before opening another trade). Under this, my > original conundrum is perfectly valid. Loser total loss can't be less than > max system drawdown (could be equal, but never less). > > Now, I did find the problem, and unfortunately it is derived because I'm > having to jack with AB to get it to recognize all available trades instead of > being bound by AB's one bar one trade limitation. > > As the probability is so slight of anyone else even remotely having the same > issues, I'm sorry I raised a false flag... > > Best Regards, > Michael > > > --- In [email protected], "Mike" <sfclimbers@> wrote: > > > > 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_musings@> > > 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." > > > > > > > > > > > > > > > > > > > >
