Maximum Drawdown by Symbol
Author: kevyaugusto
Creation Date: 5/17/2020 10:29 AM
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Hello Wealth-Lab team. I hope you're well today.

I was testing my strategies and two questions came up that I would like to ask some help.

1- Is there a way to see the maximum drawdown by symbol when backtesting a dataset?
2- Assume I tested my strategy in a symbol ABC. When I opened the tab Trades, ordered the list of trades by Profit column, I could see the worst losing trade, let's say, $5000. Why this worst losing trade value does not match the Maximum Drawdown in the performance tab?

Could you please help me with the above?

Best regards,
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Hi Kevy,

1. Don't think so. Here's a script-based workaround, though: Gain and Drawdown.

2. They don't have to match each other, and may have less relation than you think they should. According to the Wealth-Lab User Guide > Preferences > Performance Visualizers > Performance > "The Bottom Line",
Max Drawdown is the largest peak to valley dollar decline in the system's Equity Curve. Wealth-Lab reports Drawdown on a closing price basis.
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There is a trick to have all metrics by symbol but only works if you are in Raw mode.

If you are interested, configure your strategy in Raw mode, select your dataset and click "Optimize".
If you have parameters, uncheck all. Click "Begin Optimization".
In the tab result, you have by symbol all metrics. You will find the Max Drawdown for example :-) !
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1- Is there a way to see the maximum drawdown by symbol when backtesting a dataset?

Yes there is.
Save the trades for all symbols from your Multi-Symbol Backtest using SaveHistoricalTrades and do an optimization in Historical Trades. There are instructions in the Historical Trades strategy description and no programming there is needed.
To optimize by symbol and create performance metrics by symbol:
Set Data Panel as when running the strategy for 1 symbol. Select 1 symbol in datatree NOT the dataset name.
Uncheck all parameters in Otimizer
Set optimizer default to 1-1Sym to process one symbol at a time.
Set optimizer default to 0=DSS# to use the dataset symbol number needed by the optimizer
Check DS Symbol # and set stop to number of symbols in dataset-1 to process each symbol in dataset.
Set percent equity default value if using Position Options. Zero uses the value(s) set in the csv or config file.
Begin Optimization
View Results tab in optimizer. Double ckick any result for full analysis

You can size the trades as makes sense for the strategy when run on 1 symbol.See:
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