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Hi, all:
When I plot portfolio equity using the portfolio indicator
builder formula below, the max system drawdown (MDD) does not agree with the MDD
reported in the trade report. The disagreement could be many percentage points
off. To verify, run a portfolio backtest on any of your favorite systems, then
place your cursor anywhere on the graph and scroll until you find the max DD
shown in the title (it could be early even though the DD's look small since
equity in the early dates is much smaller than the later dates). Compare with
the MDD reported in your trade report. The same is true for the Long MDD and the
Short MDD. Any ideas why this may be? Here's the formula:
eq = Foreign(<FONT
color=#ff00ff>"~~~EQUITY", <FONT
color=#ff00ff>"C"<FONT
color=#000000>); cash = Foreign<FONT
color=#000000>("~~~EQUITY"<FONT
color=#000000>, <FONT
color=#ff00ff>"L"<FONT
color=#000000>); dr = eq - <FONT
color=#0000ff>Highest<FONT
face="Courier New">(eq); <FONT
color=#000000>GraphZOrder=<FONT
color=#ff6820>1<FONT
color=#000000>; LongEq=Foreign<FONT
color=#000000>("~~~Equity"<FONT
color=#000000>,<FONT
color=#ff00ff>"O"<FONT
color=#000000>); ShortEq=Foreign<FONT
color=#000000>("~~~Equity"<FONT
color=#000000>,<FONT
color=#ff00ff>"H"<FONT
color=#000000>); ddl=Longeq-<FONT
color=#0000ff>Highest<FONT
face="Courier New">(Longeq); dds=Shorteq-<FONT
color=#0000ff>Highest<FONT
face="Courier New">(Shorteq); <FONT
color=#000000>GraphXSpace=<FONT
color=#ff6820>1<FONT
color=#000000>; Plot<FONT
color=#000000>(eq/1000,
"\nPortfolio Equity/1000",
colorBlue, <FONT
color=#000000>styleLine|<FONT
color=#000000>styleThick<FONT
face="Courier New">); <FONT
color=#0000ff>Plot(dr/<FONT
color=#ff6820>1000,<FONT
color=#ff00ff>" Portfolio DD/1000 "<FONT
color=#000000>,colorBlue<FONT
color=#000000>,<FONT
color=#000000>styleArea<FONT
face="Courier New">); <FONT
color=#0000ff>Plot(<FONT
color=#ff6820>100*dr/eq, <FONT
color=#ff00ff>" %Portfolio DD "<FONT
color=#000000>, colorBlue,
styleArea<FONT
face="Courier New">) ; <FONT
color=#0000ff>Plot(LongEq/<FONT
color=#ff6820>1000, <FONT
color=#ff00ff>"\nLong
Equity/1000 "<FONT
color=#000000>,colorGreen<FONT
color=#000000>,styleLine<FONT
color=#000000>|<FONT
color=#000000>styleThick<FONT
face="Courier New">); <FONT
color=#0000ff>Plot(ddl/<FONT
color=#ff6820>1000,<FONT
color=#ff00ff>" Long Eqty DD/1000"<FONT
color=#000000>,colorGreen<FONT
color=#000000>,<FONT
color=#000000>styleNoLine<FONT
face="Courier New">); <FONT
color=#0000ff>Plot(<FONT
color=#ff6820>100*ddl/Longeq,<FONT
color=#ff00ff>" %Long Eqty DD "<FONT
color=#000000>,colorGreen<FONT
color=#000000>,<FONT
color=#000000>styleNoLine<FONT
face="Courier New">); <FONT
color=#0000ff>Plot(ShortEq/<FONT
color=#ff6820>1000,<FONT
color=#ff00ff>"\nShort
Equity/1000 "<FONT
color=#000000>,colorRed<FONT
color=#000000>,styleLine<FONT
color=#000000>|<FONT
color=#000000>styleThick<FONT
face="Courier New">); <FONT
color=#0000ff>Plot(dds/<FONT
color=#ff6820>1000,<FONT
color=#ff00ff>" Short Eqty DD/1000"<FONT
color=#000000>,colorRed<FONT
color=#000000>,<FONT
color=#000000>styleNoLine<FONT
face="Courier New">); <FONT
color=#0000ff>Plot(<FONT
color=#ff6820>100*dds/Shorteq,<FONT
color=#ff00ff>" %Short Eqty DD"<FONT
color=#000000>,colorRed<FONT
color=#000000>,<FONT
color=#000000>styleNoLine<FONT
color=#000000>);
<FONT
face="Courier New">
Thanks,
Al Venosa
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