Maximal drawdown

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Hi.

I ran an EA and got 29.59% Maximal drawdown (5315.90 $).

As I know, maximal drawdown is the maximum difference between any top to any bottom.

Looking at the back testing report , the maximum difference between any top to any bottom is 2701.40 (25547.80 - 22846.40) which are 10.5%.

Can anybody solve the difference between the numbers ?

thank you

Attach the back testing report.

Files:
aa.zip  9 kb
 
yada0206:

Looking at the back testing report , the maximum difference between any top to any bottom is 2701.40 (25547.80 - 22846.40) which are 10.5%.

Can anybody solve the difference between the numbers ?

I believe the tester counts the max DD by equity. That means if yoir first trade has gone to 5300k profit and then gone back and stoped at break even- that will be registered by the tester as the max. drawdown.
 

I thought Absolute Drawdown is what the final drawdown calculation is based on.

Ran an EA and the balance never fell below starting balance however the results were - (Absolute drawdown = 352.71, Maximum Drawdown 5164.96, Relative drawdown = 5164.96)

So what is the final drawdown actually calculated on?

Term from http://www.forex-markets.com/forexterms.htm:

Drawdown: The magnitude of a decline in account value, either in percentage or dollar terms, as measured from peak to subsequent trough. For example, if a trader's account increased in value from $10,000 to $20,000, then dropped to $15,000, then increased again to $25,000, that trader would have had a maximum drawdown of $5,000 (incurred when the account declined from $20,000 to $15,000) even though that trader's account was never in a loss position from inception

 

THANK YOU ALL

the definition of MAXIMAL DRAWDOWN is :

' maximal drawdown is the highest difference between one of local upper extremums of the balance graph and the following lower extremums:

  MaximalDrawDown = Max of (Maximal Peak - next Minimal Peak) " (from 'How to Evaluate the Expert Testing Results' ).
 
this is exactly the way i try to calculate it, and the for this reason I dont understand the result I got from the EA.
 
 
"The formula was changed 2 months ago. The drawdown is now calculated by equity, not by balance
reply 2007.08.07 10:32 stringo
"
 
Okay in saying all this which Drawdown is important to keep as low as possible when developing EA's?
 

Wouldn't it be more accurate to evaluate an EA if the drawdown is calculated by both equity (for the minimum) and balance (for the top) ?

To my opinion, I would prefer it this way because risk on profit ongoing have a far less psychological impact than on the balance you actually have (the real money earned after close of trades).

For me the maximal Relative drawdown should mean :

"At any time you start running the EA, your account balance at this time will risk a maximum equity drawdown of ..."

 
It took me a while to figure this out because I was seeing the same types of things, Maximal drawdowns of 40%+ but graphing results and looking at numbers, only finding a 7% drawdown at any given time.  It is because it is based on equity, and its frustrating because the line curve on the results only shows the equity at given moments of closing trades.  But the maximal drawdown is calculated off of the equity drawdown while the trade was still open.  I wish there was a way to actually show the true equity curve, to see where those large drawdowns occur and how often they occur.  To find the math that works I had to estimate the balance that corresponded with the maximal drawdown percentage, look on the graph and see where that occurred in time, put it on visual mode and jump to that time frame, note the trade numbers that were kept open during that time frame, watch the visual chart, manually write down the max that the market went against the trades before the closed, and then calculate the drawdown from there.  It matched, but again, I wish there was a way to actually see it, and to see how often it happened.  Did it hit a drawdown of 30% once or did it hit 30% once and 29% 50 times.  Would be nice to be able to know.
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