How Armada Quant's Drawdown Filter handled the 2020 COVID crash (simulated test)
In March 2020 the forex market made some of its sharpest moves in years. This post walks through what the Drawdown Filter in Armada Quant FX Portfolio Trader did during that stretch of our simulated test.
How the filter works
Armada trades 11 forex pairs from one MetaTrader 5 chart. Each pair has its own Drawdown Filter, and it decides once a day. When a pair's result has fallen far below its high and is still going against you, the EA closes that pair and stops trading it while the other ten keep going. It steps back in once the fall has shrunk and the result has turned back in your favor.
What it did in 2020
The drawdown filter stepped AUDUSD out on March 16, 2020 and back in on April 9. The other ten pairs kept trading the whole time.
The test's worst drop with the drawdown filter was 30.9% of the account's value at its high, from February 5 to March 19, 2020. With the filter set to 0, the same test fell 87.7% from its high in the same weeks.
In the 17-year test on MetaQuotes data the drawdown filter acted three times: AUDUSD was out from July 2009 to September 2012, USDCAD from July 2015 to March 2016, and AUDUSD from March 16 to April 9, 2020. The other nine pairs never stepped out.
What it cannot do
It decides once a day and for each pair on its own, so a sudden gap, or several pairs falling together while none reaches its level, can still cause a large drop.
Repeating the test yourself
The free demo is the full EA, and it runs in the MetaTrader 5 Strategy Tester on a computer. The setup manual lists the tester settings that repeat this test: https://www.mql5.com/en/blogs/post/777729
If you have tried it, an honest review on the product page helps other traders decide, and questions go in its comments: https://www.mql5.com/en/market/product/199194
Simulated, MetaQuotes data, Jan 2009 – Sep 25, 2026. Default settings: compounding 100%, the Drawdown Filter ON at level 10. Hypothetical performance.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.
Other periods, including ones not tested here, can produce a much larger drawdown than shown.
