# Historical draw down reporting

9/2/09 8:53 LONG 10 GBP/JPY 149.908 9/2/09 9:37 149.980 Normal \$77

The above trade constitutes a 4.22% drawdown for Nitro(i), right?

Why then their maximum historical dd is reported as 1.5%?[LINKSYSTEM_42749302]

I’m not sure that anything has changed regarding how max trade-by-trade drawdowns are calculated. But if you have a few examples I can look at in your system that you think are incorrect, please let me know so I can investigate.

Thanks

Linda was asking a different question. She was asking why the system-wide max drawdown stat can be different than a trade-by-trade max drawdown. She was not questioning the validity of the trade-by-trade drawdown calculation, which (I think) is what you are doing.

I am simply asking: If you think a trade-by-trade drawdown stat is incorrect, tell me which one I can look at to investigate.

Maybe this is just a problem with terminology. I don’t know what floating drawdown means. What I can tell you is that C2’s max drawdown stat has no relation to trade-by-trade drawdown. Rather, we just take equity snapshots through the day and use that as the basis for system-wide max drawdown. So of course this implies there is a chance that we will miss a moment when a true low (or high) occurs.

Matthew,

I do not have a system on C2. I have several systems on my analyst page.

I study their trades carefully as a part of my portfolio selection process.

To me, so far, your draw down computation algorithm is a complete mystery ! It appears that the algorithm’s performance is not completely uniform across the systems on my page. I gave you one example - Nitro(i), where an intratrade dd was 4.22%, while C2 had reported it at 1.5%. It is the worst discrepancy I have found so far. We, the subscribers, are looking up to C2 to report the dd accurately, since it is the major factor affecting our decision process.

Thank you.

I think my answer above still applies: system-wide maximum equity drawdown is calculated independently of trade-by-trade maximum adverse excursion calculations. So it is possible for a single trade to have a higher drawdown than is shown on the system-wide max drawdown stat.