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How to see the Trailing Drawdown or the Auto Liquidate Threshold Value. NT8 or Sierra


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How to see the Trailing Drawdown or the Auto Liquidate Threshold Value. NT8 or Sierra

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  #1 (permalink)
Dallas Texas
 
 
Posts: 16 since Feb 2017
Thanks: 8 given, 3 received

Hello

For a futures portfolio with positions of 2 or more symbols with all them open at the same time, I need a way to quickly see the open Max Drawdown based on the best open profit-level reached, being able to see this Drawdown in real-time while the positions are open and running, and also after these positions are already closed. For example, being able to see this value displayed in a chart or dashboard while the trade is running, but also being able to see this value in a log spreadsheet to do further analysis for example selecting a starting and ending date and show what was the max Drawdown during that time period.

I'm not sure if I'm using the exact correct terms, but to better understand the idea I will explain a little what I need.

Ok, the idea here is to have this DD value available either for live trading, or for simulated trading for practice, or also for Market Replay backtesting trading, and as said, trading with some futures positions all them open at the same time (portfolio). In other words, the idea is to have the way to check what have been the maximum adverse excursion from the best combined open profit reached, so the Drawdown value from the best level reached of all combined open positions as a whole, based on all the time the portfolio trade has been opened.

By the way, I would like to clarify what I need is not the Drawdown based on the Entry level once the trade is closed, no, what I need is the worst drawdown scenario based on the best open profit level while the trade have been opened, without the need to be in front of the screen second by second taking manual notes about this.

It would be excellent if this specific Drawdown value could be shown in a quick way in Ninjatrader 8, and it could be perfect to have this also in Sierra Chart and maybe in Thinkorswim.

I've checked the Ninjatrader 8 Trade Performance tool, and it shows the next:

- The Max Drawdown, that I see it shows the closed Loses from the portfolio losing positions, so it's not what I'm looking for.

- The MAE (Max Adverse Excursion), that I see it shows a result based on the Entry level, no based on the highest favorable level, so it's not what I'm looking for.

- The ETD (End Trade Drawdown), that I was thinking it could be what I need but once I made some manual measures in the chart I could see it's not what I'm looking for.

The reason I need to see this type of Drawdown is to adjust and refine trading strategies statistics, to improve exit points, etc. during the backtesting process, to have the way to verify if a strategy fits with a specific Trailing Drawdown rule from a funding company, but the important part is to be able to verify this BEFORE to start with them, to do the necessary adjustment. And yes, I know the software the companies provide shows the Auto-Liquidate Threshold Value, but the idea is to have a way to see this value or easily calculate this Threshold having the Drawdown value described above, without the need to depend on the company software, just to have a own tool available whenever you need, either if you have or not the company's software.

I hope someone else has been in a similar situation and can help me with this, because for a funding company is not enough that your strategy has positive results on the close of every trade, NO, because they base the evaluation not only in the closing trade results, but they make the calculation in real-time while the trade or portfolio is open, so based on a Trailing Drawdown while the positions are open.

So for them, if for example a trade starts in $0, then rise to +$500, after this it runs -$700 against, and finally ends in +$300, then the funding company does the Drawdown calculation based on +$500 that was the Max Favorable Excursion, not based in the Entry point, and because the trade ends in +$300 that is a positive value, however the value they take in count for the calculations is the best value while the trade has been opened (+$500) and the Drawdown based on that level (-$700).

Thank you.

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  #2 (permalink)
Elite_Member
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So basically you need an indicator that shows drawdown from the account balance high watermark on open and closed positions and resets each trading day.

I haven't seen an indicator like that, but if another platform already has it, it doesn't sound like it would be that complicated.

Personally though I have always found that a very odd way to calculate drawdown as it is really most viable for a high win rate scalping type strategy, but can penalise anybody who adds in to profitable trades, or tries to hold a position through the ebb and flow of the day.
Nobody wants to give back all their profits if a day goes bad and that is obviously something to try and fix if it happens regularly, but being able to end the day profitable yet still have been liquidated out of your positions for reaching max drawdown seems like an unnecessary hurdle making something that is very difficult harder still.

So I would just have their platform open at the same time as your main charting package if you want to go with them and ignore that metric if you don't, but also consider any of the other funding companies that don't have that requirement.
Maybe that's just me (and funding company comparisons is already covered in other threads). Good luck either way.

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  #3 (permalink)
Dallas Texas
 
 
Posts: 16 since Feb 2017
Thanks: 8 given, 3 received



matthew28 View Post
So basically you need an indicator that shows drawdown from the account balance high watermark on open and closed positions and resets each trading day.

Thank you for the reply. About the drawdown it never resets, unless you be desqualified from the the evaluation or in this case, unless the user specify s/he wants to start over again a new evaluation test. But during the evaluation this Drawdown is cumulative day by day, week by week. But, please read below.



matthew28 View Post
I haven't seen an indicator like that, but if another platform already has it, it doesn't sound like it would be that complicated.

Personally though I have always found that a very odd way to calculate drawdown as it is really most viable for a high win rate scalping type strategy, but can penalise anybody who adds in to profitable trades, or tries to hold a position through the ebb and flow of the day.
Nobody wants to give back all their profits if a day goes bad and that is obviously something to try and fix if it happens regularly, but being able to end the day profitable yet still have been liquidated out of your positions for reaching max drawdown seems like an unnecessary hurdle making something that is very difficult harder still.

So I would just have their platform open at the same time as your main charting package if you want to go with them and ignore that metric if you don't, but also consider any of the other funding companies that don't have that requirement.
Maybe that's just me (and funding company comparisons is already covered in other threads). Good luck either way.


By the way, I created a new thread explainig better what is needed for a standard Funding Evaluacion and how the main parameters works (Trailing Drawdown and Auto-Liquidate Threshold Vale, etc.). I dind't post that here to not to do this lorger than neccessary.

here is the link for the new thread for any developer that can help me with this, either with a NT8 indicator, or even with an excel spreadsheet where you paste the NinjaTrader data and it calculate the Trailing Drawdown and the Auto-Liquidate Threshold Value, anything that help:



Thank you

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