I have a few questions about the performance reports "Annual" (see tab "Periods") when executing a backtest
When we have "annual" selected, then we get one row for each year.
1. How exactly you calculate the cumulated profit in the column "Cum Profit" per year? I calculated it parallel and got other results.
In my strategy I have a few trades per year. How I calculate the profit:
I simulate the value of my portfolio,starting with 10'000 USD. If e.g. I enter long on 15th October 2017 with shareprice 100 and on 31th december 2017 the shareprice is 110, then my portfolio value is 11000.-. In 2018 there is no trade and the value of the share on 31th december 2018 is 120. The portfolio value therefore is 12000.-.
This means: During the year 2018 the portfolio value increased from 11000 to 12000 USD, which gives a year performance of 9.09%.
However it seems NT does not calculate it this way
2. how do you calculate the Maxdrawdown? You always take as starting point the entering of a position? This would assume that the trader enters the position only at this time.
An example to illustrate what I mean:
The signal says to go long on 15th of October 2017 with shareprice 100. Share price goes to 110, then to 90, then to 110 again by end of year.
As I understand you calculate DD=10%?
3. Is there a way to access this periods report information within the strategy?
thanks for your feedback!
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