I have created some backtests and I see 15% DD. But i want to be sure when they are calculated. During the trade or after trade closed? If DD's are calculated after trade closed, trades may even reach 60% - 70% maybe more ...
Anyone knows when are they calculated?
@Atilla Good question.
The drawdown, and other backtest metrics, are calculated at the end of each trading day based upon the portfolio value using close prices on that day. The portfolio value includes both realized and unrealized gains. It's just the sum of all portfolio holdings and is independent of a position being closed or not. One caveat is that intra-day draw downs may be greater since only the end of day values are used in the calculation.
Hope that answers your question.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
