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I suggest "MQL5 signals" establish and present a new index (that I name it "EoB") = Equity/Balance x 100 (%). It shoud be charted by time or by closed trades.

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sonthanhthuytu
359
sonthanhthuytu 2013.08.04 20:32 
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  • 11%
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Total voters: 37
sonthanhthuytu
359
sonthanhthuytu 2013.08.05 07:59  

The drawdowns (abs, max, relative) established by Metaquotes is based purely upon either The Balance or The Equity.

The inreasing of Balance is not exactly what the investor expect (while the Equity is)

The Equity is floating by the current open trades (while the Balance is not)

 

A drawdown (or increment) of Balance doesn't lead to that of Equity

A drawdown or increment of Equity does not reflect exactly the increment of risk or gaining

(ex: B=100, E=120 --> B=100,E=80 ==> Equity drawdown =  40/120 = 33%

but in fact the lthe risk ratio is (80-100)/100 = 20%)

 

The EoB index help to evaluate the risk or the interest rate at any specified time

(where the Balance is considered as the total investable fund of the investor) 

MaxEoB, minEoB is easy to figure and surely meaningful to the viewers

 

The EoB index, in my opinion, has little sense to losing symtems with both E and B go down to zero.

But it would be meaningful to evaluate the others

Tonny Obare
29232
Tonny Obare 2013.08.06 11:42  
Profits in pips. Thats the best way and is the most widely used system. The current growth system isnt quite good for comparison when you make profits and arent withdrawing the balance keeps growing and the more it grows the more it works against you because it becomes harder and harder for the figures to rise. Its like rewarding bad trading behaviour because people will use risky settings so that the growth looks great and this is dangerous for followers.
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Why Is MQL5 Market the Best Place for Selling Trading Strategies and Technical Indicators
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MQL5.community Market provides Expert Advisors developers with the already formed market consisting of thousands of potential customers. This is the best place for selling trading robots and technical indicators!
Ubzen
5394
Ubzen 2013.08.06 17:56  

sonthanhthuytu: 

(ex: B=100, E=120 --> B=100,E=80 ==> Equity drawdown =  40/120 = 33%

but in fact the lthe risk ratio is (80-100)/100 = 20%)

I much rather see the 33% draw-down and prepare myself for that then seeing 20% and have false expectation. Should someone deposit $120 trying to match the signal provider's equity and trade same size, they'll suffer a 33% draw-down. On the other hand, giving all this MFE back to the marker could be a sign of bad management.
Ubzen
5394
Ubzen 2013.08.06 17:59  
tonny: Profits in pips. Thats the best way and is the most widely used system. The current growth system isnt quite good for comparison when you make profits and arent withdrawing the balance keeps growing and the more it grows the more it works against you because it becomes harder and harder for the figures to rise. Its like rewarding bad trading behaviour because people will use risky settings so that the growth looks great and this is dangerous for followers.
Profit in money is what people care about. Someone can have positive pips and still be losing money. Whats next, you're going to recommend everyone flat bet?
Tonny Obare
29232
Tonny Obare 2013.08.06 20:27  
From pips anything can be calculated and besides other services use this
Ubzen
5394
Ubzen 2013.08.07 01:11  
tonny: From pips anything can be calculated and besides other services use this
Nope, not really. However if Meta-Quotes wants to include every trading statistical criterion/report  to the signals page, more power to them.
sonthanhthuytu
359
sonthanhthuytu 2013.08.08 07:08  
Ubzen:
I much rather see the 33% draw-down and prepare myself for that then seeing 20% and have false expectation. Should someone deposit $120 trying to match the signal provider's equity and trade same size, they'll suffer a 33% draw-down. On the other hand, giving all this MFE back to the marker could be a sign of bad management.

At t1: B=100,E=120 --> EoB = 120

At t2 B is still 100, E=80 --> EoB = 80 

==> EoB drawdown = 80/120 = 33% = Equity drawdown

You are not fair to compair the Equity drawdown to the EoB itself

The Appropriate comparision must be to pair this drawndown to that drawdown

The Equity itself reflect almost nothing, but the EoB itself reflect the current Challenge (risk) or Opportunity of the trading system.

 

Suppose there are 2 trading systems, init at the same time with the same deposite.

They gain the same money after a long-enough period of working (the same Equity at the time of review)

The first system has maxEoB=160%, minEoB=50%

The rest has maxEoB=120%, minEoB = 65%

If I have to choose one among 2, I would choose the second system with no doubt  

Tonny Obare
29232
Tonny Obare 2013.08.08 10:17  
Pips is the only way that providers cant manipulate figures and is thus the best way to compare performances in an even playing field. By using cash or growth, a strategy that makes just one pip a month can be manipulated by lot size or leverage to look way better and this is why in signals you see several signals with unrealistic monthly percentage growth of thousands.
Ubzen
5394
Ubzen 2013.08.08 19:50  
sonthanhthuytu:

At t1: B=100,E=120 --> EoB = 120

In your above example the E_Equity is the same as (your) EoB. Equity/Balance x 100 (%).
-Therefore, IMO EoB is a pointless matrix because I could just look at the Highest_Equity.

At t2 B is still 100, E=80 --> EoB = 80

Therefore, IMO EoB is a pointless matrix because I could just look at the Lowest_Equity. 

==> EoB drawdown = 80/120 = 33% = Equity drawdown

I'm pretty sure this is the same as the Relative_Drawdown in (mql4) Strategy Report Definition.
The EoB's drawdown or Largest_Peak_to_Trough is the same as the Relative_Drawdown.
So why would I consider EoB's drawdowns? Another pointless matrix in my opinion.

You are not fair to compair the Equity drawdown to the EoB itself

Yes, I agree, comparing something to itself is pretty much pointless.

The Appropriate comparision must be to pair this drawndown to that drawdown

Yes, I agree, however EoB is Not a drawdown calculation.
At t2 B is still 100, E=80 --> EoB = 80 <----EoB of 80 is the same as the Equity.
Drawdown would be 20% from 100. And 33% from 120.
In our examples because our Initial amount $100.00 this makes EoB appear like currency.
Which is a good thing because it simplifies the math and paints a clearer picture.

The Equity itself reflect almost nothing, but the EoB itself reflect the current Challenge (risk) or Opportunity of the trading system.

Given this example, all I'm seeing from EoB is Highest_Equity and Lowest_Equity.

Suppose there are 2 trading systems, init at the same time with the same deposite.

Lets call this deposit $100 in the spirit of the examples which came before it.

They gain the same money after a long-enough period of working (the same Equity at the time of review)

The first system has maxEoB=160%, minEoB=50%

Treating this as One_Trade:
(given your EoB equation)
That means it went up-to $160
That means it went down-to $50

The rest has maxEoB=120%, minEoB = 65%

Treating this as One_Trade:
(given your EoB equation)
That means it went up-to $120
That means it went down-to $65

If I have to choose one among 2, I would choose the second system with no doubt

Yeah, so would I, but thats because I'm a Relative_Drawdown kind.
The EoB's Relative_Drawdown% is the same as Equity_Relative_Drawdown%.
1st_system lost $50, 2nd_system lost $35.
Therefore 2nd_system looks better from a Risk_Point of View.

*Maybe I'm missing something about this EoB index.

If my calculations and generalizations of the EoB vs what we already have is wrong then please let me know. Also since you're a believer in this index, I have a question. Given the system_1 and system_2 example above, at what point does the Maximum_EoB tip the scale for you?

Example:

System1_ Maximum_EOB=300% && Minimum_EOB=%50. vs

System2_ Maximum_EOB=120% && Minimum_EOB=%65.

Which system would you go with? Does a higher Maximum_EOB mean a good thing for you? Are you always going with the one with the smallest Relative_Drawdown% ? 

Ubzen
5394
Ubzen 2013.08.08 20:06  
tonny:
Pips is the only way that providers cant manipulate figures and is thus the best way to compare performances in an even playing field. By using cash or growth, a strategy that makes just one pip a month can be manipulated by lot size or leverage to look way better and this is why in signals you see several signals with unrealistic monthly percentage growth of thousands.
Pips favor one type of trading methodology over another. If you want to even the playing field then start looking at Percentages%. People cannot manipulate the math. Someone who wins 100_Pips trading 0.01_Lots ...... then loses 100_Pips trading 0.10. Cannot say he performs equal to Someone who loses 100_Pips trading 0.01_Lots ...... then wins 100_Pips trading 0.10. Hope you can understand this concept.
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