Excel Max Draw Down?

Discussion in 'Strategy Development' started by Corso482, Dec 3, 2002.

  1. Ok, StockWatchPro's backtesting is kind of primative and the results don't tell you the maximum drawdown. So when I export my data to Excel, how do I manually calculate the max dd? Actually, it's not Excel, it's Microsoft Works spreadsheet, but I imagine the formula would be the same. Thanks to anyone who replies.
  2. man


    hope this helps.

  3. Thanks ! Great attachment .....
  4. man


    although I used ordinary percentag calculation on the sheet in order to keep things simple, please try for yourself the following:

    start with capital 100
    assume you gain 50 bringing your capital to 150
    assume you loose 50 bringing your capital to 100

    if you use percentage calculation you will think that first you made 50% (150/100-1) than lost 33% (100/150-1) leaving you in percentage terms with a gain fo 17%, which contrasts to your account showing Zero gain.

    this mistake is due to a tiny mistake in the percentage calculation which sums up once values are big. It is better to use log returns that do not have that problem and give the right result of 0 gain in the above example.

    it is well invested time IMO to think about this because it might be a wrotten trunk at the basis of your trading tree.

  5. Sure. On my worksheets I always start with data from raw equity p&l and then take it from there ... tends to avoid confusion.

    Thanks again.