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"Avg. DrawDown" and "Avg. Time of recovery" stats and chart overplots!

This is a reporting tool software that I participated in with ideas and the 2 following ideas were my suggestions to incorporate that I encourage Darwinex to steal happily :wink:

Overplot graphics on the equity curves of Darwins and portofolios, showing :

  • every historical new highs achieved (green dots on the screenshot)
  • maximum drawdown ever achieved (red dot)
  • drawdowns …as in every drawdowns (as in valleys before performing a new high again) that are not the maximum drawdown but less (orange dots)

Those info dots to be displayed optionnally on request (not by default) and eventually configurable for their display type (color, style - dot, square triangle - and width) or maybe simplify to dots only, same colors and width since it will be better to acknowledge and compare when screenshots are shared amongst users.

Also when hovering the mouse above a dot, within the highlight caption, it could show the drawdown (or max DD) value …or the count of the DD like " DD #6 / 14" (as in 6th drawdown as a total of 14 drawdowns, for reference purposes !)


As long as every drawdowns is pointed out (or even if not), there is a really good new stat to release which is the Avg. Drawdown
It consists of the sum of the measurements of every drawdowns (including MaxDD this time) in % , divided by the number (count) of drawdowns that happened within the whole history.
This atypical info could be presented this way, close to the MaxDD info which exists already :
Avg. DD = x% (y)
where x is the metric and y is the count of drawdowns

Other ways to display could be :
Avg. DD = x% (y/z) where y/z is a ratio like y drawdowns on z days of trading
…or even alternatively as Avg. DD = *x% (1 every z days) …which could also tell quite a story

This simple new stat could top up the MaxDD info by telling something way different but totally useful in terms of the consistency of the strategy…

Last, please consider to add a metric “Avg. time of recovery” which should measure the days count to wipe out a drawdown until the last high is reached again
(if it already exists, sorry, I missed it !)

6 Likes

The new stats could appear there (on the general tab, outside the Behavior tab) for quick overall reference, Preventing to navigate through more powerful sub-menus, as well as other basic stats like :

  • Avg daily win = x% (not pips, already available on the Behavior tab)
  • Avg daily loss = x% (not pips)
  • daily volatility = x %
  • max consecutive new high = x count
  • max consecutive new lows = x count

The strategy side is well diagnosed but right now the Darwins side is sometimes lacking info for easy consumption…

7 Likes

Bump

In order to educate investors what to expect, the avg DD stat could help them to enter during a valley or release their fear when happening, and the MaxDD time recovery (expressed in months + days + hours) or Avg DD time recovery could help them to stay invested during a heat period, etc
All in all, it would represent education to grow more realistic expectations ahead of time, so it could have an attractive effect instead of unattractive from putting the truth in bold

2 Likes

Underwater curve and these advanced DD stats would be a perfect addition for the backtesting tool.

3 Likes