How to Start with MT5, a summary ! - page 6

Forum on trading, automated trading systems and testing trading strategies

Is Relative DrawDown terminology identical to Absolute Draw Down ?

Michele Lazzarini, 2014.08.09 02:16

Absolute: compared to initial balance

Maximal: largest drawdown (measured in currency)

Relative: largest relative drawdown (measured in %)
This because you can have an early drawdown big in % but not in currency.
The Maximal can hide a largest drawdown in % happened earlier.

Relative is an index of resistance to drawdowns and can be used to compare different results.

- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -

To assess performances i find useful this expression:

Efficacy = Net Profit / Gross Profit

this can be used combined with Relative Drawdown, to assess the real reliability of a strategy:

Reliability = Efficacy / Relative Drawdown

Forum on trading, automated trading systems and testing trading strategies

Maximum Drawdown

Sergey Golubev, 2016.09.28 08:20

This is what I found:
...

There are many 'drawdowns' in the world:

• Absolute
• Maximal
• Relative
  
• Maximum drawdown on equity open trades
• may be more.

I am not sure which kind of drawdown is used for the signals (I think, it may be 'Maximum drawdown on equity open trades' as maximum possibe drawdown) but you can read the following:

Article: What the Numbers in the Expert Testing Report Mean

Small thread: Is Relative DrawDown terminology identical to Absolute Draw Down ?