Didn’t know SillyRoss was still around, cool. The real Ross, not so cool.
The intraday drawdown is the most important drawdown for investors to know about. So its good how the C2 does the calculation. If it was the opposite it would be totally misleading. You can never do any good judgement of a strategy on close to close drawdown when calculating position size, total risk, account size required and so on.
im a full time trader at Tradestation (futures) and im saying this from experience and from my point of view.
The most important drawdown is the drawdown your customers have as they close out their account. If you are an overnight position trader, intraday drawdown is a fact of life. No one can predict it. You can only get stopped out by it. My system stops are at the close only. That is the reason I only look at the close value as the absolute drawdown for my system, which in the end is what a customer will look at. Its what they have in their account at the end of the day. Not what happened during the day. A positive balance at the end of the day is more important to the customer than a negative balance during the day. Just my opinion.
I agree with the most that you are saying. But even with overnight and swing trading an easy example is if a customer/investor for example have a maximum tolerans of 10% decline of the Equity in one day.Then its not acceptable to be in a 15% drawdown intraday even if the Close is profitable at the end of the day. Becouse you have in that case passed the tolerance and there is no guarantee that you will Close with a profit if you know how i mean.
You want to know who’s swimming naked before the tide goes out? 
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Peak to Valley on portfolio level is the one that gives you the full view. Strategy might be profitable on EOD results and good risk management (especially if you don’t have like few year strategy history), but it might kill your account intraday if over-leveraged. It is important to see how the strategy is managed in continuous mode not just at selected points. This is especially relevant for all the instruments which trade 24/5 imho.
Just my 2 cents.
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This is the most insane thing I have ever read on c2. If this is the case, why even bother with DD. Technically you don’t lose any money until you sell. So why bother with any drawdown intraday or EOD. I check strategy DD intraday all the time especially for futures. That way I can adjust my scaling % of the risk I’m willing to accept vs the developer. If he takes on 20% intraday DD every week I might scale out 50% to limit my loss to 10% when he’s wrong.
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I think insane is a little harsh. Maybe my thoughts were a bit misleading and not clearly defined. With that said, I have been trading for 30+ years and this approach to measuring DD has worked just great as long as you incorporate diversity and manage leverage. My clients never did look at the DD during the trading day. It was…“how did we do today. Loose or win?” Intraday DD does not determine weather a strategy is bad or good. Only ending balance determines success. I do get out of bad trades, just not until the end of the day. Intraday DD % limits usually mean you get stopped out of a position only to find out at the end of the day you were right all along. That happens all the time. More than I care to deal with. The way I get around that is, I manage risk (draw down) with multiple diversified open positions via winners vs loses and a balanced leverage %. My DD risk history for many, many years has been well within the risk limits for trading futures with this approach. I allow a little more risk for trading futures, because the returns can be much larger. Higher risk, deserves higher reward opportunity. There are other ways that are successful in getting the job done, which is to make money. I don’t think my way is so insane. As to your scaling of risk referenced to 20% intraday draw down every week? Not sure I understand that huge number as an OK DD for each day of the week. That’s potentially 100% DD by end of week. 10% for you each day is a 50% DD. I hope I read that wrong, because if I didn’t, that seems insane to me. Good luck to you.
The drawdown on c2 is during trading hours. So if you trade futures then it’s being measured 22 hours a day. I think the different definition on intraday P/L vs DD. What you describing is what I made end of the day at closing, that intraday P/L. Intraday drawdown is when the market opens, my account is gap up 5% but China trade news hit my account is now down 5% that’s a 10% drawdown. Or -5% Intraday P/L
You must be new at c2, 20% intraday drawdown use to be pretty common. Strategy with $25k-$40k trading on 10 /ES contacts use to be very popular here on c2. I have see strategy losing 20-40% in a single day.
Very bad strategy if it let lose 20-40%
