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Portfolio Calculator Update - Average Drawdown Duration



There are several updates to the Portfolio Calculator that have been released.


This includes two new portfolios:

1.) One Million MNS 128

2.) 500K MNS 70


The new features include:

1.) Average Drawdown Duration

2.) Date Range Filter

3.) Day Trade Margin


The data has been updated through Friday, August 23, 2024.


The One Million MNS 128 removes two E-mini Nasdaq strategies from the One Million MNS 130. This provides a slight improvement to the Total Profit over Drawdown, Sharpe Ratio, and Average Drawdown Duration.


The 500K MNS 70 includes 70 of the top strategies from the One Million MNS 130 and serves as a "short list". The Average Drawdown Duration is slightly longer while Total Profit/Drawdown and Sharpe Ratio are lower.


The Average Drawdown Duration feature has been added to consider the time it takes for a drawdown to recover on average. We consider the Max Drawdown from a capital risk perspective. The Average Drawdown Duration is a good measure to compare against other portfolios. Once a portfolio is selected, looking at the distribution of the length of drawdowns as well as the longest drawdowns would be a key indicator in understanding how long it would potentially take, in a worst-case scenario, to recover from a drawdown and reach new equity peaks.


The Date Range Filter is a good tool to see the statistics over any date range starting from January 1, 2008 forward.


The Day Trade Margin selection has been added to the front of the Portfolio Calculator instead of imbedded in the margin sheets. Selecting 1, will use day trade margins on day trade strategies. Selecting 0 will use full margin on all strategies.


The Strategy List and Filter Toggle switch has been updated to be more visible with more clear wording on its functionality.


The Portfolio Calculator is a tool that we use to perform portfolio analysis that allows us to see end of day analysis for any combination of trading system as well as existing portfolio presets. This is the fastest and most efficient way I have found so far to quickly check a long list of combinations of trading systems. We don't trade all strategies all the time but track all the historical signals. This is a research tool based on hypothetical analysis. It includes $25 round turn slippage and commission.

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