How to add Max Drawdown % to Scorecard for optimization?
Author: kazuna
Creation Date: 3/2/2019 8:33 PM
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kazuna

#1

3/2/2019 8:33 PM

Is there any way to add Max Drawdown % to the optimization results?
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kazuna

#2

3/3/2019 3:52 AM

I found Community.Visualizers_2018.12 and it supports Max Drawdown %.
At first glance, it looked promising, however, it doesn't seem to work with SetShareSize in Portfolio Simulation Mode.
Is this expected?
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Eugene

#3

3/3/2019 6:09 AM

Without a doubt, Maximum Drawdown % from MS123 Scorecards (which you found in MS123 Performance Visualizers) works and produces results with any Portfolio Simulation mode including SetShareSize. It will not work in Raw Profit mode by design (there's no equity curve, just net profit).
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Eugene

#4

3/3/2019 6:12 AM

As expected:

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kazuna

#5

3/3/2019 7:25 AM

It was my fault that I was using different data range between the strategy and the workspace.
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Eugene

#6

3/3/2019 7:41 AM

Glad you've found the solution yourself.
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