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Is Relative DrawDown terminology identical to Absolute Draw Down ?

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Young Ho Seo
20274
Young Ho Seo  

Hello People

I just come across this excellent article about trading statistics. (link https://www.mql5.com/en/articles/1486)

However, in our strategy tester, we don't have the statistics called absolute drawdown any more. In both MT4 and MT5 strategy tester, we have relative drawdown and maximal drawdown only.

I just want to be sure, this absolute drawdown on this excellent article is identical to relative drawdown? So we don't get misleading here.

Is there anyone can clarify this? Really appreciate your help and thanks in advance.

Kind regards. 

 

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Michele Lazzarini
477
Michele Lazzarini  

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

Young Ho Seo
20274
Young Ho Seo  
oddpip:

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

I get different values for maximal and relative even in percentage (%).  So it is not simply measurement unit difference (i.e currency vs %).  It seems to me they are totally different statistics calcluated from different formula.

I am looking for formual to calculate relative drawdown.

 

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