'Real' drawdown figure. Help needed

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As most people probably realise the 'drawdown' figure we get in our reports or MT4 statement analyses doesn't actually tell us anything beyond the most negative state at the times when trades are closed. However, that doesn't tell the whole story and I'd like to know if there is a way we can find the actual lowest number during the entire trading period. So I'm reaching out to those who know a lot more than me if there is a way to get the real lowest percentage figure for Equity/Balance during a given trading period. Also the lowest Margin Level % would be handy too. I think in any backtest these numbers are probably more important than drawdown figures. Thanks.
 
Mike Kleinsteuber: As most people probably realise the 'drawdown' figure we get in our reports or MT4 statement analyses doesn't actually tell us anything beyond the most negative state at the times when trades are closed. However, that doesn't tell the whole story and I'd like to know if there is a way we can find the actual lowest number during the entire trading period. So I'm reaching out to those who know a lot more than me if there is a way to get the real lowest percentage figure for Equity/Balance during a given trading period. Also the lowest Margin Level % would be handy too. I think in any backtest these numbers are probably more important than drawdown figures. Thanks.

Can you please explain why you think that the Maximum Drawdown and Relative Drawdown reported in the Strategy Tester does not show the true Equity drawdown?

A far as my knowledge and experience with it, I have not seen it report an incorrect value. I even once placed code in an EA to monitor this on the equity curve (while using tick data) and did not find fault in it. However, this was quite some time ago, so it may have changed or been a bug in some build, but I don't think that to be the case.

So, if you can explain how you arrived at the conclusion, it might help us understand your point.

EDIT: Could it be that you are backtesting only on Open Prices, which would obviously cause this discrepancy?

 
Fernando Carreiro:

Can you please explain why you think that the Maximum Drawdown and Relative Drawdown reported in the Strategy Tester does not show the true Equity drawdown?

A far as my knowledge and experience with it, I have not seen it report an incorrect value. I even once placed code in an EA to monitor this on the equity curve (while using tick data) and did not find fault in it. however, this was quite some time ago, so it may have change or being a bug in some build, but I don't think that to be the case.

So, if you can explain how to arrived at the conclusion, it might help us understand your point.

Well, I'm currently in a £500 drawdown position (with my open positions) on my £10k account and have been £2-400 in drawdown before before positions were closed and my report says max drawdown is 2.66% which is incorrect

 
Mike Kleinsteuber: Well, I'm currently in a £500 drawdown position (with my open positions) on my £10k account and have been £2-400 in drawdown before before positions were closed and my report says max drawdown is 2.66% which is incorrect

Wait ... currently? Were you not talking about the Strategy Tester reports? You mentioned "backtests"!

Are you referring to live trading (either demo or real)? Then to which "reports" are you referring?

 
Mike Kleinsteuber:

Well, I'm currently in a £500 drawdown position (with my open positions) on my £10k account and have been £2-400 in drawdown before before positions were closed and my report says max drawdown is 2.66% which is incorrect

Also Max and Relative Drawdown numbers are always the same for me

 
Fernando Carreiro:

Wait ... currently? Were you not talking about the Strategy Tester reports? You mentioned "backtests"!

Are you referring to live trading (either demo or real)? Then to which "reports" are you referring?

OK, understood. I'm assuming they represented the same data in the same way. But shouldn't the current report include the current state of affairs and not just past trades ? And the past drawdowns only take the current balance into account and not what it was at the time. I'm constantly adding my own funds as time goes on. To be sure I'm complicating the situation.....

 
However, if you really do know these are the 'real' drawdowns and have tested the fact I'm happy to accept it is so.
 
Mike Kleinsteuber: Also Max and Relative Drawdown numbers are always the same for me
Max and Relative can NEVER be the same, because one is a value in Deposit Currency and the other is a percentage. However, in the reports, they usually show the other metric in brackets.
 
Mike Kleinsteuber:OK, understood. I'm assuming they represented the same data in the same way. But shouldn't the current report include the current state of affairs and not just past trades ? And the past drawdowns only take the current balance into account and not what it was at the time. I'm constantly adding my own funds as time goes on. To be sure I'm complicating the situation.....

No, I don't think so, because the current trading report is based on Trade history, and not on the live data price excursions while orders are open. Such data (M.F.E. and M.A.E.) are not recorded in the Trade History, so it cannot be calculated after the fact.

M.F.E. = Maximum Forward Excursion, M.A.E. = Maximum Adverse Excursion

 
Some traders use EAs to record live trading equity curves to study their progress, given that the trade history, does not record all these extra metrics.
 
Sure. What is the 'Relative' relative to ?
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