Best way to reproduce the "standard" Performance tab but using Closed Drawdown?
Author: DaveAronow
Creation Date: 10/2/2010 8:24 PM
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DaveAronow

#1

10/2/2010 8:24 PM

What is the best way to do this? Are the performance calculations open source or could they become open source?
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Eugene

#2

10/3/2010 2:02 AM

The standard performance metrics are closed source, but you could take PerformanceEngine.cs from MS123 Visualizers and modify this code to your taste (filter outliers, exclude open trades etc.), affecting the Community Scorecard and the "Performance+" tab in one shot.
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DaveAronow

#3

10/4/2010 3:26 PM

Wow didn't realize the closed drawdown was included on the performance+ tab -- NICE WORK!. That said, in some cases I'm seeing the closed drawdown equal to more than the open drawdown for a backtest. Is that possible and does that make sense?

Dave
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Eugene

#4

10/4/2010 3:44 PM

Dave, can you help us reproduce one of those cases? Must be futures, right?
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DaveAronow

#5

10/4/2010 3:49 PM

Yup, it's futures. Let me see if I can jury rig a simple case to demo it.
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Eugene

#6

2/18/2011 8:39 AM

Hi Dave,

Have you been able to reproduce the closed drawdown bug involving futures symbols?
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Eugene

#7

2/18/2011 11:30 AM

Nevermind: I found and fixed the closed equity issue, and the change is checked in for the upcoming build.
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