You signed in with another tab or window. Reload to refresh your session.You signed out in another tab or window. Reload to refresh your session.You switched accounts on another tab or window. Reload to refresh your session.Dismiss alert
How can I get the absolute value of the Maximum Drawdown for my optimisation? I want to maximise the Reward to Risk Ratio (RRR) which is the Net Profit divided by the Maximum Drawdown.
The text was updated successfully, but these errors were encountered:
Nvm I calculated the MDD by using the _equity_curve output:
equity = series._equity_curve["Equity"]
max_peak = equity.iloc[0]
max_drawdown = 0
for value in equity:
if value > max_peak:
max_peak = value
drawdown = max_peak - value
if drawdown > max_drawdown:
max_drawdown = drawdown
print(max_drawdown)
How can I get the absolute value of the Maximum Drawdown for my optimisation? I want to maximise the Reward to Risk Ratio (RRR) which is the Net Profit divided by the Maximum Drawdown.
The text was updated successfully, but these errors were encountered: