On Thu, Jul 25, 2013 at 4:12 AM, Borg Alexander <[email protected] > wrote:
> The same trades with intraday drawdown: > > > > <https://lh3.googleusercontent.com/-oHQEpZe2i5I/UfDda16HUSI/AAAAAAAAAFg/frsgI54OnWw/s1600/ScreenShot277.jpg> > Now you see that two trades suffered a big drawdown after eventually close > out with a positive result which is much smaller as the drawdown was. > > Yes, I agree that capturing the open trade drawdown would be useful for performance evaluation. In fact, I am now thinking of incorporating it into a performance metric used for optimization. For example, consider strategy S1 and S2. Suppose they have the same number of trades, same max DD, same net profit, same profit factor, and same PI. Further suppose that: -- The average trade for S1 was $100 profit after the average of $50 drawdown while the trade was open, and -- The average trade for S2 was $100 profit after the average of $200 drawdown while the trade was open Clearly, strategy S1 is superior to strategy S2, and it should be given a higher performance score during the optimization. As it stands right now, the optimizer would score S1 and S2 the same, because it does not account for the open trade drawdown. Collective2 uses a measure known as "Average Profit to Drawdown (APD)", which is exactly what I plan to implement. For strategy S1, APD would be 2.0, and for strategy S2, APD would be 0.5. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To unsubscribe from this group and stop receiving emails from it, send an email to [email protected]. To post to this group, send email to [email protected]. Visit this group at http://groups.google.com/group/jbooktrader. For more options, visit https://groups.google.com/groups/opt_out.
