Walk-forwards combined results max drawdown

[adamus]

I'm using the walk-forward functionality in the Strategy Analyzer. I ran the walk-forward over a long period with the optimization period = 28 and the test period = 28.

On the Instruments tab in the results, I had Net Profit which was fine, simply the sum of all the 28 day walk-forward profits.

However the max drawdown statistic said $1,500, which I estimate is the average of the walk-forward drawdowns, and not the max period drawdown and certainly not the cumulative max drawdown.

The most useful stat would be the cumulative max drawdown - could you check that this is what is actually intended and put in a request for a fix on this, please?


Thanks

[NinjaTrader_JoshP]

Draw down is calculated as follows:

[(DrawDown of Instrument 1 * Num of trades of Instrument 1) + (DrawDown of Instrument 2 * Num of trades of Instrument 2) + ... same for all other instruments...] / Total # of trades of all instruments

[adamus]

Josh,

this is only for one instrument anyway so in my case, the formula you give doesn't change the value at all.

You are showing the average for this instrument. I am saying you should be displaying the max for the instrument.

Something's obviously wrong. If you are meant to be displaying the avg drawdown, then the column title show say "Average Drawdown", not "Max", although why anybody would be interested in the averaage drawdown is a good question - you correctly calculate max drawdown in most other places where it's used.

Thanks

[NinjaTrader_JoshP]

adamus,

Please clarify what exactly you are backtesting and which exact row (what is the row heading) you are viewing. Thank you.

[adamus]

I'm doing walk-forward testing on currencies and it's the one row in the Instruments tab (I'm only doing the walk-forward on one instrument).

[NinjaTrader_JoshP]

The way that row is calculated is a weighted average of the draw downs in the various walk forwards.

Go to the walk forward tab.

[(Drawdown of Period 1 * Trades of period 1) + (Drawdown of period 2 * Trades of period 2) + ... all other periods ...] / Total trades of all periods

[adamus]

Josh,

so you are averaging the max drawdowns. surely if you are going to apply a certain calculation at one level, e.g. maximum at walk-forward period, then you should apply the same calculation at the combined level, rather than change it from max to avg?

you don't change from total net profit in the walk-forward periods to average net profit for the combined results, do you?

to me, this doesn't make much sense, and it certainly isn't much use. I'll have to export the data into excel to get the real max drawdown for the combined results.

I'd really appreciate it if you could get this changed.

thanks

[NinjaTrader_JoshP]

adamus,

The combined row statistics are mainly averages. Should you want the individual details you will need to go into the walk-forward tab. Many users do find use in having the averaged drawdown as it gives them an idea of the overall drawdown to be expected through several periods. If you want the max drawdown you can just switch over to the walk-forward tab and sort the drawdown column and see the highest one quickly that way.

[adamus]

Josh,

I think you're just glossing over the issue, really. Of course it's your prerogative to display the stats you think best, but to me and I'm sure to others, it just appears illogical and is mis-labelled. You should at least change the title of the column to 'Average Drawdown'.

It hardly seems worth me mentioning the next step which I wanted to discuss regarding this issue, but I'll just add it on here for the record. What I really expect (and again, it's probably not just me) is that the 'Max Drawdown' column should show the cumulative maximum drawdown suffered over the period of the walk-forward test, and not just of any 28-days (or other if not using default walk-forward day count).

Thanks

[NinjaTrader_Brett]

Adamus,

This is Brett following up.

Thanks for the information and clarification. I will send this into development. Thanks for your suggestion.

Let me know if I can be of further assistance.

[adamus]

Just to show you I'm not the only one - see towards the bottom of this poster's first message:

http://www.ninjatrader.com/support/forum/showpost.php?p=123551&postcount=1

[NinjaTrader_JoshP]

adamus,

As mentioned, there are many people that will argue the counter. The behavior is not something new to NT7 and people have been using it this way for a very long time, even before NT6.5 or NT6. The information you are looking for which is absolute maximum is available if you go to the Walk Forward tab and just sort the column. The information of a weighted average is not available anywhere else except the instruments tab. The current way it is implemented you have all the information available to you one way or another in the Strategy Analyzer as opposed to only some.

[adamus]

The information that I am really looking for is "cumulative maximum drawdown", which is the actual drawdown I would have seen on an account trading this strategy on these instruments for that period under test. That to me is about as important as it gets.

It's not available without doing some work in excel.

[NinjaTrader_JoshP]

adamus,

Thank you for the suggestion. I have added it onto our list in addition to what kdoren has suggest. Your suggestion which is for a summation of the drawdowns is a different stat then what kdoren is looking for which is an account level max drawdown as opposed to instrument level. His is more for multiple instrument tests while yours is more for walk-forward.