Strategy Analyzer: Max Drawdown

[spottysallrite]

Could you provide the code you use in the Strategy Analyzer to calculate the "Max drawdown".

[NinjaTrader_Kate]

Hello spottysallrite,

Thank you for your post.

The actual code itself is internal to NinjaTrader and we would not be able to provide the exact code used.

The statistics definition page contains information on several statistics, including maximum drawdown:

Originally posted by http://ninjatrader.com/support/helpG...efinitions.htm
Maximum Drawdown

The maximum drawdown statistic provides you with information regarding the biggest decrease (drawdown) in account size experienced from the highest high seen. Drawdown is often used as an indicator of risk.

Drawdown=localmaximumrealizedprofit–localminimumre alizedloss
MaxDrawdown=singlelargestDrawdown

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.

Note: This statistic may also display in selected Display Units (percent, points, pips or ticks). To see the base calculation behind each execution, view the Profit and Loss Calculation Modes page.

Another terrific resource is the publicly available page Investopedia, which has this to say

Originally posted by http://www.investopedia.com/terms/m/...awdown-mdd.asp
What is a 'Maximum Drawdown (MDD)'

A maximum drawdown (MDD) is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown (MDD) is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as "Return over Maximum Drawdown" and Calmar Ratio. Maximum Drawdown is expressed in percentage terms and computed as:

(Trough Value – Peak Value) ÷ Peak Value

On that page is a more detailed breakdown.

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