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Hi All,
I'd like to generate some discussion on this in the hope that
the ideas might be
added to the AB functionality. This applies to both
individual trade and portfolio DD
statistics.
At the present time, DD applies only to one bar in the
test period. If you run a test
on 500 bars, Max DD is a very rare occurrence. (less so for
individual trades)
If AB could provide data on the average duration of DD's and
the average DD percent,
this might be very valuable when putting a system into
production. I understand that
the value of a statistic is dependent on the number of
occurrences. It must be up to
the user to assess the limitations of the statistic being
presented.
Since everyone's "pain" threshold is different, I'd suggest
the following to account for
that.
In the Settings area, establish a tab for DD. Allow the
user to set the minimum # of
days for a duration to be counted and also allow the user to
set the minimum % DD
that would be used. If the two entries were connected
with OR logic, the resulting
statistics would be tailored to the user's needs.
Regards,
Tony
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