Maximum Intraday Drawdown
----------------------------------------
Months ago we had a discussion about drawdowns. Eventually I had time to
take a closer look at it.
After inspecting the code, I have come to the conclusion that the figures
presented under the heading 'Max DD' are actually 'Max EndOfDay Losses',
and, in the case of two or more successive negative days, I think it would
show the cumulated loss for that period (although I have not examined this
in detail).
After having experienced some intraday drawdowns, I wanted to know what the
actual intraday drawdowns for a longer backtest period would be. I have
found that, for the typical anti-trend strategies that are presented here,
these drawdowns are 2-3 times higher than the reported 'Max EndOfDay
Losses' under the heading 'Max DD'.
This is not meant to criticise JBookTrader, but just to make a great
product even better.
If you want to check the actual maximum drawdowns of your strategies,
you might want to implement the following changes:
(1) In Strategy.java, method 'processInstant(...)', replace
onBookSnapshot();
positionManager.trade();
by
onBookSnapshot();
//AB Begin July 4, 2013 - in order to update drawdown
int position = positionManager.getCurrentPosition();
if (position != 0)
performanceManager.updatePositionValue(getMarketBook().getSnapshot().getPrice(),
position);
//AB End
positionManager.trade();
(2) In PerformanceManager.java, replace
private double peakNetProfit, maxDrawdown;
by
private double peakNetProfit, maxDrawdown, currentDrawdown;
(3) In PerformanceManager.java, replace
public void updatePositionValue(double price, int position) {
positionValue = position * price * multiplier;
}
by
public void updatePositionValue(double price, int position) {
positionValue = position * price * multiplier;
//AB Begin July 4, 2013 : calculate drawdown
netProfit = getNetProfit();
if (netProfit > peakNetProfit) peakNetProfit = netProfit;
else {
currentDrawdown = peakNetProfit - netProfit;
if (currentDrawdown > maxDrawdown) maxDrawdown = currentDrawdown;
}
//AB End
}
(4) In PerformanceManager.java, method updateOnTrade, comment out the two
lines in the middle
//AB Begin July 4, 2013 - drawdown calculated elsewhere, obsolete
statements
//peakNetProfit = Math.max(netProfit, peakNetProfit);
//maxDrawdown = Math.max(maxDrawdown, peakNetProfit - netProfit);
//AB End
Eugene mentioned elsewhere that he has not implemented actual intraday
drawdown because of optimizing performance impacts. I could not confirm
this so far. However, as drawdown is calculated only while a position is
open, i.e. about 3% of the time, I believe and hope that it will not have a
big influence.
Eugene, would you please take a look to see if these modifications
are correct. Thank you!
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