Private double GetVolume(double? stopLossPips = null)ĭouble costPerPip = (double)((int)(Symbol.PipValue * 10000000)) / 100 If (fastMa.Result > mediumMa.Result & fastMa.Result mediumMa.Result)ĮxecuteMarketOrder(TradeType.Sell, SymbolName, GetVolume(StopLoss), InstanceName, StopLoss, null) As opposed to the initial investment, the relative drawdown shows how much these traders can risk. Relative Drawdown is the highest Max-Drawdown in Percentage over the duration of the test. Var currentHours = īool istimecorrect = currentHours > StartTime & currentHours StartTime2 & currentHours slowMa.Result) The drawdown of a trading account is the decline from its highest balance to its subsequent lowest balance. If ((position.TradeType = TradeType.Buy & Bars.ClosePrices ExitMA.Result)) Var positions = Positions.FindAll(InstanceName, SymbolName) SlowMa = Indicators.MovingAverage(SourceSeries, BiasPeriod, Bias) ĮxitMA = Indicators.MovingAverage(SourceSeries, ExitPeriod, Exit) MediumMa = Indicators.MovingAverage(SourceSeries, MediumPeriod, Medium) Public DataSeries SourceSeries įastMa = Indicators.MovingAverage(SourceSeries, FastPeriod, Fast) Maximum Drawdown (Trough value Peak value) / Peak value. It shows the largest downside risk level or the worst-case scenario of your trading strategy. Tracking max drawdown in live trading helps you understand when your strategy might not be working as expected.
In backtesting, it shows you the downside risk of a strategy.
#Max drawdown trading how to#
Please let me know if this is something that could even be done with Calgo and how to go about writing that, Maximum drawdown represents the largest fall in the security price from the peak to a trough over a period. Maximum drawdown is an important trading statistic that you should know in your backtesting and live trading. I am looking to add a feature to this bot that would allow me to optimize it under new parameters where it would stop trading all together if it reaches a max drawdown amount.Ĭurrently I have it to trade based on set amount of 'risk per trade %" but I would like to add the feature of 'max drawdown %'.
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