Tester: What the Numbers in the Expert Testing Report Mean
Maximal drawdown is the highest difference between one of local upper extremums of the EQUITY graph and the following lower extremums
in current build (206), not balance graph.
I wondered for one hour until now. It measures from the maximum temporary profit seen from the first trade, to the maximum temporary loss seen in the last trade in the drawdown. Spreads included.
A suggestion for future versions of MetaTrader is improve this informations and all expert testing. For example, create a random walk simulation signal, that could be mixed with a real backtest simulation using similar genetic algorithms.
On my opinion, MetaTrader tools for creating advisors are very nice, but expert simulation and testing tools need be improved as soon as possible.
I cant see the "relativee drawdown", update is needed.
I'd also like to see the Relative Drawdown definition..
Expected Payoff = (ProfitTrades / TotalTrades) * (GrossProfit / ProfitTrades) - (LossTrades / TotalTrades) * (GrossLoss / LossTrades) =
= (ProfitTrades / TotalTrades) * (GrossProfit / ProfitTrades) - (LossTrades / TotalTrades) * (GrossLoss / LossTrades) =
= GrossProfit / TotalTrades - GrossLoss /TotalTrades =
= ( GrossProfit - GrossLoss ) / TotalTrades =
= TotalNetProfit / TotalTrades
Expected Payoff = TotalNetProfit / TotalTrades
mark
I've read multiple definitions re Drawdown but they don't fit my results.
For Ex., I'll get a report that says Maximal DD 10177.62(56.07%) but if I measure my own data I find the Maximum distant from Peak to Trough (no matter equity or balance) is less than 6000.
Should the Maximal DD be somewhere around this number? According to most definitions, it should be, so why not in my case?
Ex 2, The report says Absolute DD of 888, but never does the balance or equity drop below my initial deposit.
Ex 3, And Relative DD basically shows the reverse of my Maximal DD.
This is probably such a newb question but after reading through countless definitions (all slightly different), HELP!
| Initial deposit | 5000.00 | ||||
| Total net profit | 11017.24 | Gross profit | 24645.85 | Gross loss | -13628.62 |
| Profit factor | 1.81 | Expected payoff | 48.11 | ||
| Absolute drawdown | 888.27 | Maximal drawdown | 10177.62 (56.07%) | Relative drawdown | 56.07% (10177.62) |
| Total trades | 229 | Short positions (won %) | 110 (70.91%) | Long positions (won %) | 119 (73.11%) |
| Profit trades (% of total) | 165 (72.05%) | Loss trades (% of total) | 64 (27.95%) | ||
| Largest | profit trade | 1688.88 | loss trade | -1760.35 | |
| Average | profit trade | 149.37 | loss trade | -212.95 | |
| Maximum | consecutive wins (profit in money) | 30 (5151.98) | consecutive losses (loss in money) | 12 (-5238.64) | |
| Maximal | consecutive profit (count of wins) | 5151.98 (30) | consecutive loss (count of losses) | -5238.64 (12) | |
| Average | consecutive wins | 10 | consecutive losses | 4 | |
Testing Report is not related to the Balance Graph in this article (report contains 105 trades, graph displays 500+ trades).
I would request MQL please provide a Testing Report example with a related Balance Graph so visitors can better understand functions expressed in the report as it relates to an account.
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New article What the Numbers in the Expert Testing Report Mean has been published:
Author: MetaQuotes Software Corp.