Understanding Cum. Max Drawdown

[Shai Samuel]

Hi, I am trying to understand the logic of how Cum. Max Drawdown. I have this 6 day example below.

• I understand the first 2 days where Cum Max Drawdown and Max Drawdown are the same.
• I understand the 3rd day, where Cum Max Drawdown is bigger than Max Drawdown, due to negative Net Profit on the 2nd day.
• I understand the 4th day where Cum Max Drawdown and Max Drawdown are the same.
• I don't understand the 5th and 6th day, when day 4th finished with a large profit.

Could you help me understand the Cum. Max Drawdown of day 5 and 6?

[NinjaTrader_SeanH]

Hello Shai Samuel,

Thank you for writing a post.

Below I have left you a link to our help guide for the definitions of the statistics within the trade performance window to help you with your request.

https://ninjatrader.com/support/helpGuides/nt8/statistics_definitions.htm

[Shai Samuel]

Sean, Cum. Max Drawdown is not in this list... (Max Drawdown is)

[jlabtrades]

Heres how I understand it. It shows successive multi-trading day drawdowns. If day 1 you lost and day 2 you lost in the same account those losses are added together in cum draw down. I didnt read it anywhere, just how it understand this value

Day	Cum net profit	net profit	cum max draw	max draw	gross profit	gross loss	Account 1	Account 2
0	0	0	0	0	0	0	10000	10000
1	-4000	-4000	5000	5000	1000	5000	5000	11000
2	-4000	0	9000	4000	4000	4000	1000	15000
3	2000	6000	3000	3000	9000	3000	10000	12000
4	-4000	-6000	5000	5000	0	6000	5000	11000

[dradian]

so if my balance goes from 10,000 to 9,000, then back up to 10,000 then back down to 9,000 then the max drawdown would be -$1,000 and the cumulative max drawdown would be -$2,000

1. Initial Balance: $10,000
2. First Drop: $10,000 → $9,000 (Drawdown: -$1,000)
3. Recovery: $9,000 → $10,000 (No drawdown here because equity is fully restored)
4. Second Drop: $10,000 → $9,000 (Another drawdown: -$1,000)

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Calculations:

• Max Drawdown:
  The largest single peak-to-trough decline is $10,000 → $9,000, which equals - $1,000.
  This value does not change, even if there are multiple drawdowns of the same size or smaller.
• Cumulative Max Drawdown:
  Add together the total of all drawdowns over time:
  -$1,000 (first drop) + -$1,000 (second drop) = -$2,000.