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

Sergey Golubev  

Something about drawdown -

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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.

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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 ?

Forum on trading, automated trading systems and testing trading strategies

About Drawdown

Sergey Golubev, 2022.02.27 13:09

...
As I know - the traders are using some tools/indicators for MT4 and MT5 to show absolute drawdown on equity open trades,
for example: post

And you can read this article too - What the Numbers in the Expert Testing Report Mean

Forum on trading, automated trading systems and testing trading strategies

Ask about Drawdown

Sergey Golubev, 2016.11.09 08:34

What the Numbers in the Expert Testing Report Mean

  • Absolute drawdown is the difference between the initial deposit and the smalles value of balance within testing:

    AbsoluteDrawDown = InitialDeposit - MinimalBalance

  • 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)

    The maximal drawdown percentage shows the ratio between the maximal drawdown and the value of respective local upper extremum:

    MaxDrawDown % = MaxDrawDown / its MaxPeak * 100%
Any expert can be tested on history data. After the expert has been tested, the summarized expert testing results and some key characteristics are displayed in the "Report" tab. Reports allow comparing to each other both various experts and the working results of the same expert with different inputs working. This article explains how to read such reports and to interpret the obtained results properly.



About Drawdown
About Drawdown
  • 2022.02.27
  • www.mql5.com
Hello. I'm backtesting an EA on metatrader...