Max. Drawdown calculation different in Documentation and in Strategy Analyzer

[starcd]

The definition of Max. Drawdown Percent in the documentation and the implementation in the Strategy Analyser confuses me.
The documentation says:


"As an example, your account rises from $25,000 to $50,000. It then subsequently drops to $40,000 but rises again to $60,000. The drawdown in this case would be $10,000 or -20%. Take note that drawdown does not necessarily have to correspond with a loss in your original account principal."

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I now have the following problem:

In Strategy Analyzer I have a Max High of $62,334 and a few trades later a Max Low of $52,036.
Max.Drawdown will show $10,271 in the $ display. Using the example in the documentation, my Max. Drawdown is 16.47%.
However, the Strategy Analyser gives me a Max. Drawdown of 6.01% in the percent screen.
See attached screenshots.

16.47% to 6.01% is a huge difference. What value can I communicate to potential customers?
Or have I perhaps completely overlooked something?

Thanks

[NinjaTrader_Kate]

Hello starcd,

Thank you for your post.

The specifications define max drawdown as (the highest cumulative profit value - the lowest cumulative profit value) * - 1.

Following that calculation, the highest cumulative profit value was 62334 and the lowest was 52,063. Subtracting those gives us the 10271 shown in the currency display.

If we divide the 62334 by 10271, we get 6.06893194430822, which is fairly close to the percentage that was reported for the percent of the drawdown, which seems incorrect here. If we were calculating what percentage of the highest value that equates to, you're correct, I calculate it at about 16.47%.

I'm going to reach out to our development team to see exactly what the logic is behind that percentage calculation as it seems the calculation to me is reversed from what it should be - I'll let you know what they say.

Thanks in advance; I look forward to assisting you further.

[NinjaTrader_Kate]

Hello starcd,

Thank you for your patience.

I've gotten some clarification on how this is calculated from my colleague Jim. He's created this video that walks step by step through the calculations:

https://www.screencast.com/t/XkfarUWha7ST

Please let us know if we may be of further assistance to you.

[starcd]

Hello, Kate,

thanks a lot, also to Jim for this explanatory video.
I now understand well how the analyzer can identify Max. Drawdown.

But which calculation result of Max.Drawdown in Percent is the right one to communicate to customers?
The one from the Anyalyser or what is written in the user manual?

https://ninjatrader.com/support/help...efinitions.htm > Understanding Max.Drawdown

Thanks Frank

[NinjaTrader_Kate]

Hello starcd,

Thank you for your reply.

Since the calculation in the help guide is a bit unclear, I'd explain it basically as Jim went over it in his video - right at the beginning he walks through exactly how to calculate it from the points.

Please let us know if we may be of further assistance to you.