Calculate Max DD in dollars
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- Roundtable Knight
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Calculate Max DD in dollars
What would be a good method to calculate the Max DD in dollars to use at the end of a test as a statistic?
Probably a "for" loop.
Estimating it from Max%DD, or from totalLossDollars, or other shortcuts, could easily produce tremendously bad approximations. Maybe you could do slightly better by combining Max%DD with %ProfitFactor and $ProfitFactor but that'd still be an approximation and would still have a pathological worst case that gives a rididulously wrong answer.
Estimating it from Max%DD, or from totalLossDollars, or other shortcuts, could easily produce tremendously bad approximations. Maybe you could do slightly better by combining Max%DD with %ProfitFactor and $ProfitFactor but that'd still be an approximation and would still have a pathological worst case that gives a rididulously wrong answer.
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