calculate maximum drawdown in quantopian

We use the Supertrend Strategy with Initial Capital equal to 10000 USD and open NYSE:UBER on the 3D timeframe as the symbol. Let's look at how Max Drawdown is calculated at this example: This will be the Max Drawdown for the current position of the strategy. After finding the drawdown for the current bar, find the maximum value among all of the drawdown values we have calculated. So if the trade was closed on the bar's open, Open will be considered both the maximum and the minimum value of that bar.Ĥ. Note that if you calculate the drawdown for the closing bar of a trade, you should also account for the intrabar price movement, which goes from Open to High or Low (whichever is closest), then to the other value of that pair, and then to Close. Max_Equity - Equity_on_Entry + Numbers_of_Contracts * (Current_High - Entry_Price) Max_Equity - Equity_on_Entry + Numbers_of_Contracts * (Entry_Price - Current_Low)įor short trades, the formula will look like this: For long trades, it is calculated by the following formula: Calculate the drawdown of the strategy for each bar where the strategy was in a market position. To do so, we take the strategy's Initial Capital and all of the Equity values from the trades that were already closed by that moment and find the largest number among these values.ģ. For each trade, calculate Max Equity the strategy had before that trade opened. For the first trade, this value will be equal to Initial Capital.Ģ.

For each separate trade, calculate the Equity before the current trade’s opening. To calculate the maximum drawdown, which is displayed on the Performance Summary tab in the Strategy Tester, we:ġ. This value is calculated separately for every bar that the strategy spends with an open position. Displays the largest drawdown of losses, i.e., the maximum possible loss that the strategy could have incurred among all of the trades it has made.

Calculate maximum drawdown in quantopian