Traders' Roundtable

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.

Loop over the equity curve and keep track of the high, and the following low, and compute the dollars.

got it, thanks.