Max Drawdown

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  • 08/26/2020 at 9:46 pm #79868
    bmessas
    Participant

    Is there a way in QT to put a constraint on the Max drawdown as you did for the portfolio mad DD 15 ?

    Thanks
    Ben

    08/27/2020 at 1:19 am #79869
    Alex @ Logical Invest
    Keymaster

    Hi Ben,

    no, currently you can’t constrain the MaxDD in QuantTrader. But in the advanced parameters you can put a limit on volatility, so that QT limits the allocation to the strategy and puts the rest in “cash”.

    Also please note that the MaxDD refers to a single event in the past, it is not really a metric of the “riskiness” of a strategy. Volatility is a much better metric for the overall variability, and therefore the probability of a mayor drawdown.

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