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how does myfxbook calculate drawdown?
Membre depuis Nov 21, 2011
posts 1601
Jun 04, 2014 at 09:24
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.
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.
Membre depuis Nov 21, 2011
posts 1601
Jun 04, 2014 at 09:24
Yes DD is max recorded.
forex_trader_28881
Membre depuis Feb 07, 2011
posts 691
Jun 04, 2014 at 11:43
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.
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.
forex_trader_28881
Membre depuis Feb 07, 2011
posts 691
Jun 05, 2014 at 05:07
(édité Jun 05, 2014 at 05:10)
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.
http://blog.myfxbook.com/2012/02/20/equity-based-drawdown-new-metrics/
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.
http://blog.myfxbook.com/2012/02/20/equity-based-drawdown-new-metrics/
Jun 19, 2014 at 12:03
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
http://www.freeforexrebates .info
Jun 27, 2014 at 21:12
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.
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.
Creator of "Squat Jump" conservative Forex trading strategy
Membre depuis Nov 21, 2011
posts 1601
Jun 27, 2014 at 21:39
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.
Jun 28, 2014 at 09:22
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.
Fichiers joints:
Creator of "Squat Jump" conservative Forex trading strategy
Membre depuis Nov 21, 2011
posts 1601
Jun 28, 2014 at 10:17
I knew I should have been more precise into my request.
What exactly do you mean by "innovative ideas" regarding your strategy you posted?
What exactly do you mean by "innovative ideas" regarding your strategy you posted?
Membre depuis Jun 25, 2014
posts 12
Jun 28, 2014 at 21:04
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 ?
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 ?
Go With The Flow
Membre depuis Nov 21, 2011
posts 1601
Jun 28, 2014 at 23:51
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!
Membre depuis Jun 25, 2014
posts 12
Jun 29, 2014 at 09:51
CrazyTrader posted:
each tick!
Ok. This is good. Thx for the info.
Go With The Flow
Sep 25, 2014 at 07:14
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.
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.
A Universal Algorithm. A Trading Edge in ANY Market.
Membre depuis Jun 25, 2014
posts 12
Sep 25, 2014 at 20:42
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 ?
Go With The Flow
