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Hi Gary,
If TS computes drawdown as CurrentOpenEquity - MaxClosedEquity then TS does
NOT calculate the MTM Maximum Drawdown.
To calculate the MTM (mark-to-market) Maximum Drawdown, TS would need to
calculate:
I_OpenEquity - Max(I_OpenEquity,I_OpenEquity[1]))
If you want, I can build you a simple example that shows the TS max draw
versus the MTM maximum drawdown and this has always been the problem of TS,
even today. For short term systems, the difference between TS max draw and
MTM max draw is not much but for longer term systems...well, the difference
is like chalk and cheese.
Rob Bianchi
r.bianchi@xxxxxxxxx
=============================
Date: Wed, 30 Apr 2003 21:51:57 -0600
From: "Gary Fritz" <fritz@xxxxxxxx>
Hi Gary,
The true MTM maximum drawdown is defined as:
Maximum Equity
To: omega-list@xxxxxxxxxx
Subject: Re: AW: when a strategy breaks the max drawdown
Message-ID: <3EB0457D.29822.1B535117@xxxxxxxxx>
Content-type: text/plain; charset=US-ASCII
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> TS reports Maximum Drawdown based on closed trade equity only and
> the reports do not track the mark-to-market (MTM) movement of the
> trade P/L during the life of the trade.
Not true. TS computes drawdown as
CurrentOpenEquity - MaxClosedEquity
At least it did when I verified it in TS4. I'd be fairly
surprised if they changed it in later versions.
Gary
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