I still do not really understand your problem with the concept of drawdown percentage. Neither of your examples is related to it. DD% is a very simple calculation that is used in most trade platforms and described on many websites:

When a system makes $100 profit with $50 drawdown, its drawdown percentage is 50%. If it makes $50 profit with $50 drawdown, its drawdown percentage is 100%. If there is no profit, its drawdown percentage is infinite.

- As to the check of stratey expiration, we compare the drawdowns so far with the drawdown that is displayed when you click "Test". The algorithm is considered "expired" when the real drawdown exceeds the projected drawdown. You can easily do that yourself with a test run. Only difference is that we check the drawdowns of all Z components separately for removing possibly expired components from the portfolio.

I think I never said I have any problem with the concept of drawdown. Obviously I see it as a very important concept. What I have problem with is Zorro performance report where I don't see max drawdown number quoted in percentage. The number closest to the needed number on the report I don't trust, so I asked for clarification. Here we are on the second page, and the original question has still not been answered. Like we're speaking (writing) in two different languages?!

I have half a dozen very direct questions in this thread already that have all been completely ignored. Instead I now learn that I have a problem with a concept of drawdown. Sheesh... And answering only few of those questions would bring light to this issue. Do I need to extract them and taxatively quote once again, and would you be willing to give direct answers to direct question?

Yes please. What did you not understand with the drawdown percentage and with my simple examples above? Just ask and I'll answer.

If I understand correctly he wants to know why in the Zorro report max drawdown is not shown as a percentage of equity peak at the point it occurred but in dollar values.

As I said repeatedly, it is a percentage of the profit, because using the equity peak amount would simply be wrong.

Incredibly simple question: my Z12 demo is currently $2400 in drawdown. What is the drawdown percentage?

9.17%

And by which magical formula you have arrived to that number?

It's called the "rule of three". Max DD = $2355 = 9%, thus 9*2400/2355 = 9.17%

BTW, did you get this drawdown really with the default settings? It would already exceed our expiration criteria, so we would have to pull this system if we got a similar drawdown.

Huh, now I'm lost completely. It seems that my mind is totally wrapped arround percentages, while you designed Zorro to pay special attention to dollar values. This way we will probably never really understand each other.

But, let me point out one obvious thing that comes out now at the end of this discussion. When I ask about a strategy drawdown expressed in percentage, your answer includes rule with a funky name that includes the number from the backtest of that strategy??? Now that is EXTREMELY weird. Obviously I once again made a mistake and let you do that by choosing a strategy that has known backtest results, but who would've thought it would end like this? How do you then calculate drawdown of the strategy that has not been backtested? Obviously you're missing values for your forumula. Question after question we're just going deeper into the rabbit hole...

I give up. Too much energy for nothing...



No, Margin was at 100 most of the time, so the number should be slightly bigger. At least you finally revealed your criteria for strategy adequacy, so this whole thread was not in vain.