Max Draw Down Report (single position)

Name: Max Draw Down Report (single position)
Author: Firetron

stable

By Firetron in Trading Bots Published April 2020 👁 1,369 views 💬 1 comments

Description

Add this code to your existing script to report max draw down of positions after a back test completes. You will have to supply the trading code.

local maxDrawDownAmount  = Load(&#039;maxDrawDownAmount&#039;,  0)
local maxDrawDownPercent = Load(&#039;maxDrawDownPercent&#039;, 0)
 
function CheckMaxDrawDown()
 
  if GetPositionDirection() == NoPosition then
    return
  end
 
  local drawDownAmount  = GetPositionProfit()
  local drawDownPercent = GetPositionROI()
  
  maxDrawDownAmount  = ArrayGet(Min(maxDrawDownAmount,  drawDownAmount),  1)
  maxDrawDownPercent = ArrayGet(Min(maxDrawDownPercent, drawDownPercent), 1)
 
  Save(&#039;maxDrawDownAmount&#039;,  maxDrawDownAmount)
  Save(&#039;maxDrawDownPercent&#039;, maxDrawDownPercent)
 
end
 
CheckMaxDrawDown()
 
Finalize(function()
  CustomReport(&#039;Max. Draw Down Amount&#039;,  maxDrawDownAmount..&#039; &#039;..QuoteCurrency(), &#039;Draw Down Report&#039;)
  CustomReport(&#039;Max. Draw Down Percent&#039;, maxDrawDownPercent..&#039; %&#039;,                &#039;Draw Down Report&#039;)
end)

1 Comment

Firetron about 6 years ago

Draw Down was an inaccurate term for this. Please use the new one here: https://www.haasscripts.com/t/max-risk-point-report-single-position/