From bc5048e4f389ec535375c56f533cd81c24e6c948 Mon Sep 17 00:00:00 2001 From: Nicolas Papp Date: Mon, 25 Apr 2022 23:50:47 -0300 Subject: [PATCH] Update to backtesting.md --- docs/backtesting.md | 4 +++- 1 file changed, 3 insertions(+), 1 deletion(-) diff --git a/docs/backtesting.md b/docs/backtesting.md index 5d836d01b..bc98e81bf 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -439,7 +439,9 @@ It contains some useful key metrics about performance of your strategy on backte - `Rejected Entry signals`: Trade entry signals that could not be acted upon due to `max_open_trades` being reached. - `Entry/Exit Timeouts`: Entry/exit orders which did not fill (only applicable if custom pricing is used). - `Min balance` / `Max balance`: Lowest and Highest Wallet balance during the backtest period. -- `Drawdown (Account)`: Maximum Account Drawdown experienced. Calculated as $(Absolute Drawdown) / (DrawdownHigh + startingBalance)$. +- `Max % of account underwater`: Maximum percentage your account has decreased from the top since the simulation started. +Calculated as the maximum of `(Max Balance - Current Balance) / (Max Balance)`. +- `Absolute Drawdown (Account)`: Maximum Account Drawdown experienced. Calculated as `(Absolute Drawdown) / (DrawdownHigh + startingBalance)`. - `Drawdown`: Maximum, absolute drawdown experienced. Difference between Drawdown High and Subsequent Low point. - `Drawdown high` / `Drawdown low`: Profit at the beginning and end of the largest drawdown period. A negative low value means initial capital lost. - `Drawdown Start` / `Drawdown End`: Start and end datetime for this largest drawdown (can also be visualized via the `plot-dataframe` sub-command).