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This is my implementation of mark-to-market drawdown, that is the worst
drawdown (mark-to-market) experienced on your trading system's equity
curve during the test period.
Vars:Highs(0),MtoMDD(0),Equity(0);
Equity=NetProfit + OpenPositionProfit;
If CurrentBar=1 then begin
If Equity>0 then Highs=Equity;
If Equity<=0 Then Highs=0;
End;
If CurrentBar>1 then If Equity>Highs[1] then Highs=Equity Else
Highs=Highs[1];
If Equity-Highs<MtoMDD then MtoMDD=Equity-Highs else MtoMDD=MtoMDD[1];
This differs from Omega D/D, I read somewhere Omega D/D ignores drawdown
from equity peaks on profitable trades, surely the above variable shows
sometimes quite different results from Omega's one.
You could add last value of MtoMDD to your system's results output file
if you like.
Best regards.
Massimo.
--
" Self conquest is the greatest of all victories " - Plato
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