Topic: Max DrawDown in Strategy Overview Wrong
I have a strategy that when reading the "Overview" of it, shows this:
Long + Short Short Long
Maximum drawdown 615,14 EUR 736,61 EUR 483,26 EUR
Maximum drawdown % 2,16% 4,48% 2,65%
How can it be that the Max Drawdown for "Long + Short" is lower than the drawdown for Short or Long? The Max DrawDown for "Long + Short" should have the maximum drawdown value that occured either in Short OR in Long, whereever the higher drawdown occured. So for this particular strategy it should correctly show this:
Long + Short Short Long
Maximum drawdown 736,61 EUR 736,61 EUR 483,26 EUR
Maximum drawdown % 4,48% 4,48% 2,65%
But currently it seems to be the average of the max Drawdown of Short + Long, which makes no sense at all.