For the consideration of professionals. - page 7

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khorosh:

A formula and a verbal description that can be interpreted ambiguously are different things. How do you calculate the drawdown on closed orders?

You build a function with the equity values at the times when equity=balance, then use it to find the maximal drawdown according to the same logic as for calculating the drawdown on equity.
 
Andrei01:
After calculating the function with equity values at the moment when equity=balance, the maximum drawdown is calculated with the same logic as for the search of drawdown on equity.
Can you answer the question, could it be that after opening the first order of the purchased real EA, equity would immediately decrease to the amount of the maximum loss of equity that was calculated when testing the EA in the tester for the last year?
 
khorosh:
Can you answer the following question: can equity immediately after the opening of the first order of an EA placed for a real account drop to the value of the maximum equity decrease obtained during testing of the EA in the tester over the last year?

If you are referring to the drawdown of the deposit according to this formula, it can happen. The drawdown can occur at any moment, be it on the first or on the last order.
 
Andrei01:
If you mean the drawdown of the deposit according to this formula, of course. A drawdown can happen at any time, either on the first order or on the last one.
That is why I use the value of the maximum possible equity drop when determining the initial deposit.
 
By the way, the equity drawdown from the balance is more informative than the one given by the tester.
 
khorosh:
That's why I use the value of the maximum possible equity drop when determining the initial deposit.
If your strategy is such that the maximum drawdown is always on the first order, then of course your drawdown will coincide with the tester. But this would indicate incorrect calculation of lots. If you calculate it correctly, the drawdown can be anywhere.
 
Andrei01:
If your strategy is such that maximum drawdown is always on the first order, then of course your drawdown will coincide with the tester. But this indicates incorrect calculation of lots... If you calculate it correctly, the drawdown can be anywhere.
This has nothing to do with my strategy. It is just that the drawdown at the first order is the most dangerous while the deposit has not yet increased. This is why we should proceed from the fact that the most unfavourable case can occur after the first order has been opened and no one is indemnified against it. If I select an initial deposit higher than the maximum possible equity drop found during testing, I have a better chance to avoid margin calls than in your calculation method.
 
khorosh:
It's just that the drawdown on the first order is the most dangerous while the deposit has not yet grown.
If so, then take a smaller lot on the first order, or immediately close it as soon as possible to avoid the sin, if by your strategy superstitious to the number 1.
 
Andrei01:
If so, take a smaller lot on the first order, or close it as soon as possible to be safe, if your strategy is superstitious about number 1.
In that case I suggest you read the tale of the boy like you and especially the summary in the last sentence, I have nothing more to say to you. I will end the discussion.
 
Andrei01:

The tester measures the maximal drawdown of equity correctly but it does not take into account the balance state at this moment which makes no sense.

In other words, if the open order rises and then falls by 100 pips, the tester will show a 100 pips drawdown of equity while the real drawdown which logically determines the strategy risk is equal to zero. It is clear that such calculations are useless for assessing the strategy risks.

I agree with Andrei01: : the tester counts correctly what the programmer told it to count, other questions to the programmer - why it put this nonsense in the calculation.
.......... ........

Let me explain:

-- Suppose we run optimization, after that the results analysis unit selects the best trading strategy according to some algorithm and the maximal drawdown of the tester is used in the calculations.

-- As a result of the optimization we got two results (this is just for clarity)

Two four-point charts of equity tests of these two TS are shown in the picture.



What do you think the analysis unit will choose?
What would you choose?

.......... .........


And please -- don't insult your opponent, even if he is right. ))




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