After testing several intraday strategies on a 5min basis, I am confused, how Wealth-Lab 5 is caculating
a) the Exposure
b) the Maximum Drawdown %
Could you please be so kindly and explain it? The help menu in WL5 is not answering this point.
My strategy doesn't go short, but goes in and out several times per day in a stock portfolio.
Rgds
Faik
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These are metrics in the Performance Visualizer, so the Help menu in WL5 answers it in the User Guide (F1) here: Preferences > Performance Visualizers > Performance
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I am sorry, Cone, but the User Guide doesn't explain in detail how it is calculated - especially on an intraday basis with positions that are open for some minutes only. I did a test with one stock which I bought 3x during a day on a 5min basis. Would like to send you this example in an Excel spreadsheet.
Please let me know, if you are interested and how I could sent you the file.
Rgds
Faik
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Exposure is relative to the duration of (bars in) the backtest; it doesn't have anything to do with days or weeks. It's calculated by integrating the area of the equity curve that is exposed to risk, i.e., the light green area divided by the entire area. (If you use margin, the dark green cash area below the 0 equity line also contributes to exposure.)
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Thanks for the answer.
What about the Max Drawdown calculation? Is this also based on bar-by-bar calculation when using an intraday strategy? I did it by hand with a three trade example and were not able to get the same figure, WL5 calculated.
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Then tell me how you calculated it, and I can tell you what you did wrong.
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Hey Cone, thanks for the offer. I already prepared an email with three small attachments, so that you can see easily how I calcualted it.
Pls let me know your email by writing an email to me.
Rgds
Faik
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Please create a support ticket, and just attach it there. tia.
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