how does myfxbook calculate drawdown?

Im trying to find out how does DD on myfxbook works.

and is it avg DD or max DD?

a formula would be nice

much thanks!

Drawdown is calculated from peak-to-valley based on both equity and balance, since inception.

Drawdown can only increase.

Formula should be something like that:
If (Equity < 0 and Equity/Balance*100 > Actual Drawdown) => So Drawdown is updated with the new value.

Yes DD is max recorded.

And it's also completely in-accurate. MT thing. Industry thing apparently....

DD should be current equity vs highest equity, or lowest vs highest equity.

However, they have a second method which is more correct. The DD tab. It's different to how DD is calculated in the systems main page, you'll see the figure is different. I use that one, more accurate.

thank you for kind reply

so you mean when trades are floating it starts new record the DD right? does not matter how many trades.


on the right side DD tab only record trades that closed negative?

Calculation 1:

Highest Balance - Equity

Calculation 2 I think is:

Highest Equity - Current Equity.

You'd have look at their blog to see what it really is.

https://blog.myfxbook.com/2012/02/20/equity-based-drawdown-new-metrics/

much thanks

CrazyTrader posted:
Drawdown is calculated from peak-to-valley based on both equity and balance, since inception.

Drawdown can only increase.

Formula should be something like that:
If (Equity < 0 and Equity/Balance*100 > Actual Drawdown) => So Drawdown is updated with the new value.

Thanks for sharing man

DD = Max(balance(t) - equity(t)) / balance(t)

Go to: https://www.myfxbook.com/members/aatie/squatjumps5-account1/958093

you will see that t = 18 March 2014 and that Max(balance(t) - equity(t)) = 2250 and balance(t) = 11500

so the DD = 2250/11500 = 19.6

If you are looking for a conservative system, innovative ideas, take a look to the account above.

aatie posted:
If you are looking for a conservative system, innovative ideas, take a look to the account above.

Hi,

I think you should tell us more about it.

CrazyTrader posted:

aatie posted:
If you are looking for a conservative system, innovative ideas, take a look to the account above.

Hi,

I think you should tell us more about it.

Thank u for your interest.
Kindly find attached five documents that describe the strategy.

I knew I should have been more precise into my request.

What exactly do you mean by 'innovative ideas' regarding your strategy you posted?

Boys and Girls,

the most important thing is WHEN this drawdown is calculated. As we all know in the markets the movement within a one minute can be very large for example 100 ticks down and then in next 5 minutes 100 ticks back up.

Now if the DD calculation is done only at the end of the position you do not see the real drawdown of the system. The drawdown during the position.

-> during that 100 tick drop your account may be wiped out completely depending of course the level of the risk in the position

So what is the frequency when the DD is calculated here in myfxbook ?

TickSeeker posted:
Boys and Girls,

the most important thing is WHEN this drawdown is calculated. As we all know in the markets the movement within a one minute can be very large for example 100 ticks down and then in next 5 minutes 100 ticks back up.

Now if the DD calculation is done only at the end of the position you do not see the real drawdown of the system. The drawdown during the position.

-> during that 100 tick drop your account may be wiped out completely depending of course the level of the risk in the position

So what is the frequency when the DD is calculated here in myfxbook ?

each tick!

CrazyTrader posted:
each tick!

Ok. This is good. Thx for the info.

I am not sure that the above statements are correct.

The way I am reading myfxbook's calculations, the Drawdown and Max Drawdowns are calculated on a CLOSED TRADES basis. It is not evaluating DD based on Equity. So if I am right, this method is highly favoring flawed grid and martingale systems which often carry heavy floating losses while only closing profitable trades... until they crash out. Take this logic to an extreme case, myfxbook's stats may not disclose a system's actual DD until equity hits margin call trigger and the account blows up.

For example, one of my systems carries some profitable trades for a long time with little drawdowns. Yet, it has been credited with a 20% maxDD based on closed trades only while Equity never ever pulled back by even a quarter of that.

This would make myfxbook's DD calculation and overall true system risk assessment highly unreliable.

I am currently investigating with Myfxbook's team and will post the final answer here. It is an important topic.

Good point.
Curious to read the answers.

esmfx1 posted:
Good point.
Curious to read the answers.

I thought this was done... but was not... this was a good lesson: You have to check EVERYTHING BY YOURSELF. DO NOT TRUST ANYBODY !!

Can someone from the staff of myfxbook.com tell us what is the situation in this topic ?

Where the system is calcuation the drawdowns exactly ?

How can we trust to the results from this whole web site if the DD is calculated by the wrong way ?