Important points to read on Backtested result(AMI)?

Algos, strategies, code
1

I have back tested a Nifty strategy for 6 years which gives below result in that I have questions on Draw down.

Initial cap 1lk and annual profit around 60%

Losers

AVG.Loss -4336.65

AVG.Loss -5.63%

Max Consecutive 17

Largest Loss - 14091.60

Max. Trade DD -35184

Max.Trade DD% -29.1%

Max.System DD -107565

Max.Sys DD% -18.23%

RF 29.72

CAR/MaxDD 4.28

RAR/MaxDD 540.03

PF 1.97

What is the difference between Max Trade DD and Max Sys DD .?

Largest Loss and Max Trade DD should be equal right(but here it differs)?

Max system DD is -107565 .is it mean If this had happen @ Intial Period My entire capital of 1lk get vanished?

If other things are ok , Is this system worth to go live?

2

What is the difference between Max Trade DD and Max Sys DD ?

Trade Drawdown% is the largest percent loss% (MFE-MAE) faced in any single trade. Max System Drawdown is the largest throwback%(highest value-lowest value) of portfolio Equity( Initial capital + Book net P/l + MTM P/l ).

Largest Loss and Max Trade DD should be equal right(but here it differs)?

They would be equal only if you have max consecutive loss is 1. Largest loss represents the loss made in one trade, while drawdown considers multiple trades.

Max system DD is -107565 .is it mean If this had happen @ Intial Period My entire capital of 1lk get vanished? 

Exactly. You should do Monte Carlo analysis to check what is the probability of vanishing your whole capital if trading sequence is changed.

If other things are ok , Is this system worth to go live?

System looks decent. Please post the equity curve and complete backtest report for further analysis.

Read more about analyzing the Amibroker backtest report below:

Understanding Amibroker Backtest Report.

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Thanks a lot!! I am unable to attach documents here …shall I send Email to you?

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