Hello,
I was reviewing the Drawdown Metrics in WFO Reports in WL. It only shows Max Drawdown. But in reality I'd like to compare strategy results with average Drawdowns.
If you look at the chart below comparing the red equity curve with the black equity curve, both have the same Max Drawdown but the black curve is far more desirerable than the red curve. I wonder if there is a setting to have the average drawdown shown too? Maybe it could be added in code or if not in a future build?
Thank you.
I was reviewing the Drawdown Metrics in WFO Reports in WL. It only shows Max Drawdown. But in reality I'd like to compare strategy results with average Drawdowns.
If you look at the chart below comparing the red equity curve with the black equity curve, both have the same Max Drawdown but the black curve is far more desirerable than the red curve. I wonder if there is a setting to have the average drawdown shown too? Maybe it could be added in code or if not in a future build?
Thank you.
Rename
You can optimize over any custom set of metrics. To choose Average Drawdown %, go to Preferences > Metric Columns > from Extended Scorecard, drag "AverageDrawdownPct" onto the right.
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