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Drawdown (since inception) shown can be misleading

Darwiniex should think about whether this picture with a difference of a third can still be fair for investors:

If an investor would use a stoploss of 15 % under the high water mark on his investment, he probably was stopped out when the 15% were hit.

To avoid getting such a Darwin in a DD filter limited to 15 %, at least in filters the Max. Drawdown should be used instead of Drawdown.

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I would like to add that, usually, drawdown is calculated top to bottom.

Top is 306.88 (09/02)
Bottom is 258.51 (today, so far)

DD = (306.88 - 258.51) / 306.88 = 15.76%

So even Max Drawdown is wrong.
I understand that it is probably calculated on daily close, but I don’t think you are doing any favor to investors to show DD this way.

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And wow - this Max. DD can also be reduced: :frowning: from -15.09 % to -15.05 %
grafik

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Hi there guys,

Unfortunately I cannot reproduce the images you are showing. Maybe there is a bit of a lag in the “drawdown since inception” line ? It seems updated now.

Kind regards,

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Yes, it is updated now … and higher than max. DD shown! :face_with_raised_eyebrow:

Indeed, that is the same I see.
All in all there should not be a difference in the Max Drawdown and the Drawdown on top of the page.
Could be delayed of some kind though

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Good for my filter that it is banned now for 2 years as it should be

This is the old problem.ZVQ was in such situation a year ago(even worse DD) and recovered during the day and they showed like nothing happened.

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I don’t want to believe the “flexibility” of the DD values :frowning: - do you have an explenation? Please compare against the screenshots above

For me this is an error which must be fixed.

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It appears that DD is calculated on daily close. If today HFD recovers and closes in positive area, DD will go back to about 10%.

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Although I don’t agree with your attack to HFD, I agree with this.

I also took a screenshot because I noticed that drawdown was reducing. Not just for HFD, I noticed this also while I was evaluating other Darwins.
Only February performance shows -11.91% in my screen (it was not even the worst moment), how come Drawdown shows -10.77%.
Not cool for potential investors, in my opinion.

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Thank you for raising this topic! Current precision of DARWIN DD data is now explained in the following topic:

We’ll evaluate to only update “DD since inception” if the new value is lower to not lose resolution over time.

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Thank for clearing this point.

But it would also make sense to show the real max. DD on the performance statistics as @FedericoSellitti pointed out.
You have the high and low data at least when you show a candle stick chart. I would also like to see that on the filter criteria. Currently it is hard or not possible to set a stop loss on the value where the real max. DD is exceeded.

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I’m confused about this also, we have the data to show high and low of the h4 candlesticks in the Darwins Return / Risk tab. I’m not sure what level data these H4 candlesticks are from but they seem to be more accurate than whatever the DD stats are calculated from now…

Also, people are showing screenshots of decreasing DD stats. The DD was calculated more correctly at some point… just freeze the DD stat from decreasing. It should never decrease!

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There are a couple of reasons drawdown since inception is not calculated off the candlestick data.

  • There are no candles for the period when a strategy was not yet listed as a DARWIN asset.
  • Candlestick maximum and minim values don’t offer enough information. We have to know the date and time as DD is a posterior minimum following a previous maximum. Inside a candlestick, we do know the minimum and the maximum but not in which order they were produced.

Currently, intraday DD is not reflected in drawdown since inception when more than 3 months have passed since the intraday DD. This is what we seek to solve with only updating the value if the new value is lower.

Yep, this is what we’re now reviewing to do.

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For that I am talking about the max. DD of the performance statistics. That should NEVER decrease as any other max. value.

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For some reason you guys prefer the Max. Drawdown (next to DARWIN return graphs) value to the DD since inception (upper section of DARWIN profiles) value.

But it’s the latter that’s more accurate!

From Precision of DARWIN drawdown data:

In the moment the draw down is occurring, it seems like the estimation is sometimes more accurate. But even the estimation on a 3 month chart with D1 candles seems to be using open and close of the candles instead of high’s and lows. I’m talking about first a candlestick prints a new high then a later candle stick prints a lowest low since then. DD should not be less than that difference, correct?

When two candlesticks are involved we can use the high of one and the low of the other. Even if there is a big swing inside a single stick we can safely use the high to the close or the open to the low.

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This is correct and it would enable us to improve the calculation of drawdown, We’d still need to solve the problem of no candlestick data before the DARWIN got listed on the Exchange.

This assumption is not correct. We can’t estimate within the same candle.

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