DD of systems WAY off? $4656 vs. $9533

If the system is this far off then how do we use this as a tool to select systems? I just can not see a reason for this kind of difference

See attached links:
A Strategy for YM (111178031) https://www.screencast.com/t/eFoL97szus

My broker account: https://www.screencast.com/t/DEvwpqlf

Same scaling used - 100%

I didn’t look at your issue in detail, but this sort of thing has come up before. From what I understand the issue is it’s a difficult problem to calculate accurate drawdown after-the-fact on every system especially when systems can hold a variety of complex instruments. So again from what I understand, Collective2 doesn’t calculate drawdown but spot checks systems throughout the day and notes the lowest real-time drawdown observed. If there is a spike in drawdown that soon recovers, Collective2 might miss it.

That makes sense, I didnt read anywhere about “spot checking prices” I used to be on iSystems and they only checked End-of-Day but that was known. I thought C2 was better because I could see the true DD in the account. I guess not so much so

C2 is better than end-of-day drawdown only, but it’s not always completely accurate.

Actually you are inquiring about a single trade worst draw down , so it have to be accurate - match your broker - , what David is describing is only applicable to system’s overall max drawdown .

I could be wrong but I don’t think single trade max drawdown is any different.

Its different because we can go back and check worst price - during holding the position - , if you check the c2 ticket beside each closed trade it has a specified “worst price” .

Thats why it is normal to have an intra-trade max drawdown bigger than the system’s overall drawdown , go check old systems it is common - even if they only hold one position in a single market - .

Ok, might be just an error then.

Yes, my question was single trade DD question but C2 Support seems to be little help. I’ve only been with C2 a couple of months but this DD discrepancy and an exit because of an “erroneous tick” I run DTN IQ_Feed and also checked CQG and Tradestation feeds and didnt see any “erroneous tick”

^^^ 100% that is why I provided the broker screenshot

If you follow him 100% without any interference then it should match plus minus any slippage or sync delay .

Anyway check the worst price during the period , check ym chart , and compare it to C2’s worst price .

I 100% agree. But if C2 only checks the positions sometimes then that would explain the difference. I just think C2 would be much closer then 5K off,

I was at 100% and let the trade run itself from open to close. Slippage was not bad, just a few ticks.

Here are all my fills if anyone really wants to look at them https://www.screencast.com/t/9xM5O1vV

Matthew Klein (Collective2 Help Desk)
Dec 14, 16:46 EST

Hi, Joseph:

Here’s how that stat was calculated.

First, we begin measuring at the time the initial long position is entered (11/9 1:31 AM ET) @ price 23484.

We search for the most adverse movement in @YMZ7 starting at 11/9 1:31 @23484 until the position went flat at 11/23 11:41.

We found the “worst” price was 23205 which was hit at 11:15:17 at 10:00:00AM.

We found that the quantity open at that time was 5, and the VWAP entry price at that time was 23391.272.

So we came up with: 23205-23391.27 = 186.27 points

186.27 points X quant=5 X $5 per point = $4656

So there are a couple places where each individual trade drawdown stat can be wrong. First, perhaps our minute-bar data is different than the actual data? This can happen rarely.

Next… is our VWAP of the entry price the same as yours? Here is the most likely source of discrepancy… this is a complicated trade, with multiple legs in and out, and so here perhaps is where C2 and your broker differ (see screen shot).

But I re-ran the VWAP of the entry price by hand and it looks good to me.

Hope this helps.


Matthew Klein