Backtest max DD in open position

[siroki]

I'd like to see the max DD while in an open position in the backtest results. I'd like to know what amount my position goes into red before closing it.

[NinjaTrader_Jason]

Hello siroki,

You can create a Draw Down graph under the Graphs-tab. The Summary-tab will show the maximum draw down of the entire backtest.

[siroki]

Yes, but I believe this drawdown is calculated based on losing trades on a closing basis. I'd like to know per trade what the max drawdown was while in that position.

For example: I place an long order EURUSD 1.1300 and while in that position it drops to 1.1250. Finally I close the position when it hits 1.1325 for +25 pips. Right now I dont see the -50 pips while I was in that position. Just that it closed for a +25 profit. I'd like to see the -50 too.

[NinjaTrader_Jason]

I see, thank you for clarifying. I will forward the suggestion to development to put it on the list of possible future enhancements.

[bltdavid]

Yes, but I believe this drawdown is calculated based on losing trades on a closing basis. I'd like to know per trade what the max drawdown was while in that position.

For example: I place an long order EURUSD 1.1300 and while in that position it drops to 1.1250. Finally I close the position when it hits 1.1325 for +25 pips. Right now I dont see the -50 pips while I was in that position. Just that it closed for a +25 profit. I'd like to see the -50 too.

Old post, but it bugs me when confusion continues to reign in a historical thread.

The OP is arguably mis-using the word "drawdown", since other terms exist to describe what he wants.

Drawdown reflects how a closed trade has affected your account balance, thus it is per-trade statistic and is a value calculated after the trade has closed.

<SideNote>
How to calculate MaxDrawDown?
Here is some pseudo code for currency calculations,

Let MaxDrawDown = 0
Let DrawDown = 0
FOREACH trade that has closed DO
      Drawdown = DrawDown + Trade-Realized-Profit-In-Currency;
      if (DrawdDown > 0)
           DrawDown = 0;
      if (DrawDown < MaxDrawDown)
           MaxDrawDown = DrawDown;
END LOOP

</SideNote>

What the OP wants is Maximum Adverse Excursion (MAE), which keeps track of the worst PnL the trade ever saw while the trade was open.

Conversely, the Maximum Favorable Excursion (MFE) keeps track of the best PnL the trade ever saw while the trade was open.

[koganam]

Old post, but it bugs me when confusion continues to reign in a historical thread.

The OP is arguably mis-using the word "drawdown", since other terms exist to describe what he wants.

Drawdown reflects how a closed trade has affected your account balance, thus it is per-trade statistic and is a value calculated after the trade has closed.

<SideNote>
How to calculate MaxDrawDown?
Here is some pseudo code for currency calculations,

Let MaxDrawDown = 0
Let DrawDown = 0
FOREACH trade that has closed DO
      Drawdown = DrawDown + Trade-Realized-Profit-In-Currency;
      if (DrawdDown > 0)
           DrawDown = 0;
      if (DrawDown < MaxDrawDown)
           MaxDrawDown = DrawDown;
END LOOP

</SideNote>

What the OP wants is Maximum Adverse Excursion (MAE), which keeps track of the worst PnL the trade ever saw while the trade was open.

Conversely, the Maximum Favorable Excursion (MFE) keeps track of the best PnL the trade ever saw while the trade was open.

You are not the only one irked by imprecision. Join the club.

[bltdavid]

You are not the only one irked by imprecision. Join the club.

Well, I know, but the thing that irked me the most was the inability of NT support to advise the OP regarding the terms "drawdown" vs "MAE".

The OP's own definition in his opening post screamed out MAE MAE MAE ... so I was disappointed and surprised that NT support did not "see" that.

NT support is usually quite good ... but they failed in this thread.