Topic: Drawdown
In my view there's an important caveat in the program in the way it measures drawdown. Drawdown is measured only on closed positions, but it should be in fact marked-to-market.
- Popov
- Lead Developer
- Offline
Re: Drawdown
We have two types of drawdown - one calculated from the Balance line and one calculated from the equity line.
You observation is correct for the Balance line Drawdown. It changes only when the Balance line changes. However, the balance lane changes only when we close a position.
On the other hand, FSB Pro calculates the Equity Drawdown at every bar.
You can see this example of a strategy that never closes. We have equity DD calculated. The Balance DD is correctly shown as 0 because we don't have a change in the balance line.
