Duration of Drawdowns

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Duration of Drawdowns

Postby NTtrader » Mon May 21, 2012 10:58 pm

Not sure if this has been mentioned before, but it would be nice to have the length (in time) of the maximum strategy drawdown as well as the average duration of drawdowns from peak to valley in the performance report tab.
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Re: Duration of Drawdowns

Postby Overload » Tue May 22, 2012 11:33 am

I can see how the duration of the max drawdown could be helpful. The date of the largest drawdown is displayed in the Performance Report, so normally I just examine the Unrealized Equity chart and look for that date to see the characteristics of the drawdown. But I can see how the duration would be helpful. I'll put this on the list.

As for the average duration of all drawdowns, that gets a little more tricky. In particular, one would have to identify what constitutes a drawdown. Is it based on percentage from a high? And how would that high be identified? Is a one-day drop technically a drawdown? If there were ups and downs during an extended drawdown, would the smaller drawdowns be included, or just the outer drawdown? As you can see, there are some questions with this one, but I'll think about it some more.

Thanks for the ideas.

Pete
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Re: Duration of Drawdowns

Postby Jaded » Mon Jun 25, 2012 11:31 pm

I would like to add on to this request as well. The following would be great for scoring a system:

1. Duration of the max drawdown in days

2. Average duration of all drawdowns. A single drawdown would be classified as any unrealized loss in system equity in a single day. If a drawdown occurs on multiple consecutive days, that number is combined into the same drawdown instance. The drawdown would be considered completed when the system equity rises above the initial equity of when the drawdown began.

3. Number of drawdowns, unrealized and realized

4. Average drawdown percentage (this could be extremely helpful in scoring)

Let me know what you think.
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Re: Duration of Drawdowns

Postby Overload » Tue Jun 26, 2012 10:54 am

All good ideas. I was thinking as well that in addition to drawdowns, it would be good to create such numbers for upside excursions as well. You could then create things like ratios that would allow you to compare the drawdown frequency and intensity to that of upward movements.

Pete
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Re: Duration of Drawdowns

Postby Jaded » Tue Jun 26, 2012 11:09 am

That sounds like a great idea as well. I'll be waiting for that release to come out today, along an x64 version :)
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