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Forex Forum → Forex Strategy Builder Professional → Ticks and drawdown questions

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Posts: 5

Topic: Ticks and drawdown questions

Hello.

I have 2 questions:

1. What is equity percent drawdown? Does it only count difference between balance and equity line? Or does it include balance drawdown as well? For example: I have $1000 account and I get it to $2000. After that I get a drawdown back to $1000 with lots of small orders (so equity and balance is always the same). What would be equity percent dd? 50%?

2. Does FSB use spread from ticks in case they are loaded?

Thank you.

Re: Ticks and drawdown questions

Hello Sanny,

1. What is equity percent drawdown?

FSB calculates the Equity DD by using only the equity line points. The Equity DD is higher or equal to the Balance DD.

See the code:

for (int bar = firstBar; bar < dataSetBars; bar++)
{
    // Equity
    double moneyEquity = Session[bar].Summary.MoneyEquity;
    if (moneyEquity > MaxMoneyEquity) MaxMoneyEquity = moneyEquity;
    if (moneyEquity < MinMoneyEquity) MinMoneyEquity = moneyEquity;
   
    if (MaxEquity - equity > MaxEquityDrawdown)
    {
        // Maximum Money Equity Drawdown
        MaxMoneyEquityDrawdown = MaxMoneyEquity - moneyEquity;
        
        // Maximum Money Equity Percent Drawdown
        double percentDrawdown = 100.0*MaxMoneyEquityDrawdown/MaxMoneyEquity;
        if (percentDrawdown > MoneyEquityPercentDrawdown)
            MoneyEquityPercentDrawdown = percentDrawdown;
    }
}

I have $1000 account and I get it to $2000. After that I get a drawdown back to $1000 with lots of small orders (so equity and balance is always the same). What would be equity percent dd? 50%?

Correct.

2. Does FSB use spread from ticks in case they are loaded?

FSB Pro uses fixed spread. The program uses tick data (when available) to shape the price route inside a bar.

Re: Ticks and drawdown questions

Thanks for detailed answer. It's clear now.
Regarding ticks - don't you want to use ticks properly - I mean use real spread from them? That would dramatically raise backtesting quality for scalping strategies.

Re: Ticks and drawdown questions

Regarding ticks - don't you want to use ticks properly - I mean use real spread from them? That would dramatically raise backtesting quality for scalping strategies.

I don't think so. The tick data comes from DukasCopy or other third party provider and their dynamics is different from your MT broker.  Also the spreads are different. I think it's better to set a higher static spread and (eventually) some slippage for the backtest. You can also use the MonteCarlo tool with random spread in predetermined range in order to simulate the spread variations. And finally you can use the Spread Level Pro to prevent entries on a higher spread.

Re: Ticks and drawdown questions

You are right, but at the same time it's more accurate to rely on Dukascopy or any other provider than to static spread. That's how TickDataSuite from eareview works and that's the best we can do for more accurate results.
I can try to implement it in the FSB and if you want - you'll move it to FSB Pro. What do you think?

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