Absolute Drawdown and Maximum Drawdown OutPut Not Correct?

[chua le]

Hi,

I have done the backtest using EA : Moving Average.ex4 for EURUSD from 11.21.2018 to 11.24.2018.  I have spent a lot of time to calculate the Absolute Drawdown and Max Drawdown by hand and it does not tally with MT4 output. Is there a possibility the MT4 output is not correct? Kindly help.

 

#	Time	Type	Order	Size	Price	No of Pips	S/L	T/P	Profit	Balance
1	2018.11.21 11:00	sell	1	0.2	1.69992
2	2018.11.21 14:00	close	1	0.2	1.70234	-24.2			-37.77	9962.23
3	2018.11.21 15:00	sell	2	0.2	1.7008
4	2018.11.23 12:00	close	2	0.2	1.69915	16.5			23.34	9985.57
5	2018.11.23 14:00	sell	3	0.2	1.69683
6	2018.11.23 16:00	close	3	0.2	1.70002	-31.9			-49.35	9936.22
7	2018.11.23 18:00	sell	4	0.2	1.69417
8	2018.11.23 23:58	close at stop	4	0.2	1.69561	-14.4			-23.05	9913.17

Bars in test	1072		Ticks modelled	364862		Modelling quality	25%
Mismatched charts errors 0	0
Initial deposit	10000					Spread	Current(27)
Total net profit	-86.83		Gross profit	23.34		Gross loss	-110.17
Profit factor	0.21		Expected payoff (net profit/no of trades)	-21.71
Absolute drawdown	173.15		Maximal drawdown	307.39(3.03%)		Relative drawdown	3.03%(307.39)
Total trades	4		short position(won %)	4 (25%)		Long position (won %)	0 (0%)
			Profit trades (% of total)	1 (25%)		Loss trades (% of total)	3 (75%)
		Largest	profit trade	23.34		loss trade	-49.35
		Average	profit trade	23.34		loss trade (total loss/no of trades)	-36.72
		Maximum	consectutive wins (profit in money)	1(23.34)		consecutive losses (loss in money)	2 (-72.40)
		Maximal	consectutive profit (count of wins)	23.34(1)		consecutive loss (count of losses)	-72.40 (2)
		Average	consecutive wins	1		consecutive losses	2

[Fernando Carreiro]

chua le: I have done the backtest using EA : Moving Average.ex4 for EURUSD from 11.21.2018 to 11.24.2018.  I have spent a lot of time to calculate the Absolute Drawdown and Max Drawdown by hand and it does not tally with MT4 output. Is there a possibility the MT4 output is not correct? Kindly help.

It is correct! There is nothing wrong with the calculation!

The Absolute Drawdown is calculated based on your Equity vs. the Initial Balance, while the Maximal Drawdown and Relative Drawdown are calculated based on Equity vs. Equity (not Balance vs Balance). So at some point your Equity must have been higher than the initial balance, so as to account for the 307.39 Maximal Drawdown compared to the 173.15 of Absolute Drawdown and it must have also been lower than your final balance to account for a 173.15 of Absolute Drawdown compared to your 86.83 of final loss.

[chua le]

Thanks Fernando for the reply. Actually I have done the hand calculations for the equity changes by measuring the pips from the  chart (blue horizontal lines attached above) and plot the equity chart. Yet it did not yield the answer as tabulated in the table for Absolute Drawdown and Max Drawdown. Kindly help.

[Fernando Carreiro]

chua le: Thanks Fernando for the reply. Actually I have done the hand calculations for the equity changes by measuring the pips from the  chart (blue horizontal lines attached above) and plot the equity chart. Yet it did not yield the answer as tabulated in the table for Absolute Drawdown and Max Drawdown. Kindly help.

Drawdown is not measured in "pips". It is measured in "money" (Account Currency)!

Track the values of AccountBalance() and AccountEquity() within your EA on every OnTick() event and you will see that it does in fact calculate correctly. If your calculations are saying otherwise, then you should check those to find the error.

When analysing your calculations, make sure to account for spread and commission and swaps if applicable.

[chua le]

Thanks Fernando.