Display Drawdown Range in Optimizer window

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This topic contains 2 replies, has 2 voices, and was last updated by  Richard Thomas 10 months ago.

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  • #53168

    Richard Thomas
    Participant

    Is it possible to display the Drawdown Range in the Sharpe Distribution section of the optimizer window?  This is a key variable in a lot of members analysis of their strategies, but it is not visible within the optimizer window, where it would be most helpful.

    If I am looking for a lookback/attenuator combination that has a DD better than -10% the only way I can determine this is by selecting each of the 1,000 results in the sea of grey and pressing Apply to view the information in the summary section of the Portfolio window.

    Clearly I can reduce this effort by only looking at grey cells that have a lower volatility than the red cell, but this is still very much a hit and miss time consuming exercise.

    If you are concerned about available display space, I would sacrifice the Range Sharp field as I personally find it of no value and wonder how many other members use it and would be prepared to sacrifice it for the DD.

    RichardT

    #53235

    Frank Grossmann
    Participant

    You are right, the Range Sharpe field is not really necessary, and I think it would be quite simple to replace it by a “Range Draw-down” field. Perhaps even a switchable Sharpe/DD distribution graph would be possible.
    I will put it on my To-Do list.

    #53302

    Richard Thomas
    Participant

    Thanks, Frank

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