Intrabar Unrealized Max Drawdown

[obiwan_cashobi]

What is the best way (available options?) to capture data for the intrabar unrealized max drawdown? I understand the Max Adverse Excursion (MAE) gives you the maximum amount the price action moves against you compared to your entry position price while you are in the trade. I am not looking for that metric. What I am attempting to capture is within 1 bar (say a 1-minute bar as an example), what is the maximum amount the price action moves against you from a "peak value", not your entry position. For example, let's say your entry position "price" is "10." On a long position, if the price moves up to 20 and then back down to 11 (still above your entry price), before continuing up to hit your "profit target" of "25." The value I am looking to capture is 9 (20 - 11 = 9).

[NinjaTrader_Eduardo]

Hello,

Thank you for your post.

NinjaTrader does not provide a calculation for the drawdown of an open position, but we do provide a calculation for Max Drawdown for closed trades in the SystemPerformance collection.

For what you have described, you would need to develop a custom calculation and track each PnL after each rise or fall.

• Performance Metrics

Here is the formula for Max. Drawdown:

• Understanding Max Drawdown

Drawdown = local maximum realized profit – local minimum realized loss
Max Drawdown = single largest Drawdown

You can also find an example performance metric, SampleCumProfit, within the PerformanceMetrics folder in the NinjaScript Editor.

Please let me know if I may be of any further assistance.