Name: Max Draw Down Report (multiple positions)
Author: Firetron

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 and save the position IDs after you open positions.

local maxDrawDownAmount  = Load(&#039;maxDrawDownAmount&#039;,  0)
local maxDrawDownPercent = Load(&#039;maxDrawDownPercent&#039;, 0)

local longPositionId  = Load(&#039;longPositionId&#039;,  &#039;&#039;)
local shortPositionId = Load(&#039;shortPositionId&#039;, &#039;&#039;)

local longContainer  = PositionContainer(longPositionId)
local shortContainer = PositionContainer(shortPositionId)

function CheckMaxDrawDown()

  if longPositionId == &#039;&#039; and shortPositionId == &#039;&#039; then
    return
  end

  local longDrawDownAmount   = 0
  local longDrawDownPercent  = 0
  local shortDrawDownAmount  = 0
  local shortDrawDownPercent = 0

  if longPositionId != &#039;&#039; then
    longDrawDownAmount  = longContainer.profit
    longDrawDownPercent = longContainer.roi
  end

  if shortPositionId != &#039;&#039; then
    shortDrawDownAmount  = shortContainer.profit
    shortDrawDownPercent = shortContainer.roi
  end

  maxDrawDownAmount  = ArrayGet(Min(maxDrawDownAmount,  longDrawDownAmount,  shortDrawDownAmount),  1)
  maxDrawDownPercent = ArrayGet(Min(maxDrawDownPercent, longDrawDownPercent, shortDrawDownPercent), 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

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F

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-multiple-positions/