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Add a column for draw down on each trade vote results

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Add a column for draw down on each trade Discussion

Stephanus Rensburg (stephanusR)
Sep 17 2010 at 05:28
216 posts
Add a column for draw down on each trade, there are 11 columns at present. Each draw-down must be marked in pips or % of equity , whatever might be suitable.

Soeren (GridsForPips)
Sep 17 2010 at 06:50
205 posts
Marked in % of Equity please.

Cheers

Soeren

(We already know the DD in pips and deposit currency?)

edit:

Thought about it, what you want is a column that shows how much DD a History trade created before closing in profit?

Always get cashback -
Stephanus Rensburg (stephanusR)
Sep 17 2010 at 08:55
216 posts
GridsForPips posted:
Thought about it, what you want is a column that shows how much DD a History trade created before closing in profit?


yes, one could do also do it graphically , it quantifies the risk/reward ratio. As a general rule if you make 10pips profit your drawdown should be no more than 10pips for a 1:1 profit ratio. Each trade's pip:drawdown ratio is then weighted as a % of deposit or equity. Every single weighted trade is then combined and then averaged for a single parameter which we shall call
Weighted pips gain : weighted draw down (pip-gain-factor). Thus a standard lot trade that employed 10% of equity for a gain of 10pips for a draw down of 10 pips will have a higher positive pip-gain-factor than a micro lot trade that generated 100 pips for a a draw down of 10 pips.

One could take either the equity or initial deposit to generate this pip-gain-factor, we must discuss this further.

Stephanus Rensburg (stephanusR)
Sep 17 2010 at 09:34
216 posts

stephanusR posted:
    
GridsForPips posted:
Thought about it, what you want is a column that shows how much DD a History trade created before closing in profit?


yes, one could do also do it graphically , it quantifies the risk/reward ratio. As a general rule if you make 10pips profit your drawdown should be no more than 10pips for a 1:1 profit ratio. Each trade's pip:drawdown ratio is then weighted as a % of deposit or equity. Every single weighted trade is then combined and then averaged for a single parameter which we shall call
Weighted pips gain : weighted draw down (pip-gain-factor). Thus a standard lot trade that employed 10% of equity for a gain of 10pips for a draw down of 10 pips will have a higher positive pip-gain-factor than a micro lot trade that generated 100 pips for a a draw down of 10 pips.

One could take either the equity or initial deposit to generate this pip-gain-factor, we must discuss this further.


Thus one doesn't have to manually read through pages of trades to find a winning system, the (pip-gain-factor) allows a single number to quantify whether random luck or true trading skill was demonstrated, and it can easily be implemented in a spread sheet or script.

Soeren (GridsForPips)
Sep 17 2010 at 11:31
205 posts
But, again this makes gridbased systems look bad, because of the nature of gridsystems.

Mine is about historical highs and lows, Moving Averages and dynamic centerline trading very small lots, which can generate huge DD against profitpips, although the strategy is profitable in the log run...(I hope)

Cheers

Soeren

Always get cashback -
Stephanus Rensburg (stephanusR)
Sep 17 2010 at 11:39
216 posts

GridsForPips posted:
    But, again this makes gridbased systems look bad, because of the nature of gridsystems.

Mine is about historical highs and lows, Moving Averages and dynamic centerline trading very small lots, which can generate huge DD against profitpips, although the strategy is profitable in the log run...(I hope)

Cheers

Soeren


It doesn't make your system look 'bad', it just accurately quantifies the fact that your system involves large equity draw-downs and states this as a factor. The system might be profitable but then such profits must be large to compensate for the draw down which the pip-gain-factor will do. If your draw-down is 200 pips and your profit is 200 pips, then your weighted pips gain: weighted draw down factor would still be the same as 10 pip gain : 10 pip drawdown. Making 10 pips on 200 draw down would be unacceptable risk.

In some cases 200:200 might not be acceptable, one should somehow factor for this.

Stephanus Rensburg (stephanusR)
Sep 18 2010 at 11:27
216 posts
https://www.forexfactory.com/showthread.php?p=4011537#post4011537
Let's focus on this point a bit here. Can you disclose here how you have audited for each of your 'managers' the following:
   1. Operational risk
   2. Investment risk
   3. Liquidity risk
And can you disclose the full audit protocol and audit trail for each of your managers?
Furthermore can you disclose the individual investment and risk processes of each of your managers?

Poster cloggie from FF has some additional insights we could incorporate. We need to have a database of every winning system from collective2.com, tradency, currensee , myfxbook.com and zulutrade.com in CSV format. Program a python, excel or ruby script on code.google.com that will allow one thus to automatically scan through thousands of systems to reduce the system that generates returns for acceptable risk to be identified and placed in some ranked order.

Zulutrade.com trading history can be downloaded using a screen scraper and windows automation script. We would all agree that it is getting annoying having to click through endless pages of systems only to discover the broker is from Russia.

Chris
Krysztau
Sep 18 2010 at 16:12
68 posts
I think this is a great suggestion, but demanding huge calculation space...

AM (amowatt)
Sep 19 2010 at 04:59
28 posts
Basic % increase / decrease per per closed trade I feel would be the best ..........

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