search

sch17 / truetrade

Automatically exported from code.google.com/p/truetrade
0 stars 0 forks source link

Strategy Summary max drawdown broken #6

Open GoogleCodeExporter opened 8 years ago

GoogleCodeExporter commented 8 years ago 
For any strategy executed, the "Max per-trade drawdown" is extremely large,
far too large to be real.  Even when running with a trailing stoploss, the
max per-trade drawdown can be 10x the stoploss.

e.g.: NR7Strategy with ES, generated a $14,620 per-trade drawdown

Original issue reported on code.google.com by tyrotra...@gmail.com on 28 Apr 2007 at 4:18