I have to add a note here. Suppose you have a positive trade of $400 but during the trade, net profit once was at $600. In this case the maximum drawdown would be at $200 by definition. Suppose the next trade would first go into negative territory by $100 and subsequently close with a net profit of $50, then the maximum drawdown would rise to $300. Taken the first trade by its own, the drawdown shows $200 even though the trade was never in negative territory. Taken the second trade by its own, the trade was $100 below break even and the drawdown would show $100. Taken both trades together, profit/loss has never been in negative territory but anyway the drawdown would be at $300, summing up the subsequent drawdowns of the two trades. The profit shown would be $450. I personally would also be interested in another figure which tells another story. Namely the worst drop below break/even of all trades (taken individually), as opposed to the worst loss at the end of the trade which is given by Eugene in 'MaxDD'. In the example above, this would be the $100 of the second trade because the first trade was never below break/even. This would also be the maximum red (negative) profit/loss figure you would ever see on your TWS screen (assuming you trade only one strategy). Which of the three figures would you like to see, or yet an entirely different measurement? (By the way what is 'Max SL' in Version 9?)
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