Maximum drawdown duration (bars) in MS123 Scorecard?
Author: wouterv
Creation Date: 5/7/2011 2:53 AM
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wouterv

#1

5/7/2011 2:53 AM

Hi,

I downloaded the community scorecard visualizers which of course are great, but I was wondering if there is a way to measure the maximum duration of a drawdown. So this would be the maximum number of bars a drawdown is running. I would like to rank by optimization tests based on this.

If there isn't I'll just write one myself, I'm just wondering if I'm missing something obvious already available.

Thanks,
Wouter
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Eugene

#2

5/7/2011 3:40 AM

Hi,

Although your topic stated "visualizer", what you're asking for is a scorecard. (The built-in Drawdown tab shows each drawdown duration and the Performance+ tab shows the max.drawdown duration.)

For ranking and optimization, I'll include the max.drawdown duration in Community Scorecard (and perhaps rename the library to MS123 Scorecard) in the next update.
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wouterv

#3

5/7/2011 4:14 AM

Cool, thanks.
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