Originally Posted by
aly
Hi Pascal,
Actually, I wasn't offering to help at this time. I would love to help but, you see, I'm quite busy right now with my work and other activities. I simply wanted to suggest a few ideas to you and the group to help get things rolling a bit.
I have taken a bit of time, though, to make an example for you of how to calculate drawdowns in Excel. I have attached a spreadsheet showing how the calculations should be performed, based on my knowledge. In my spreadsheet, the EOD (end-of-day) and intraday drawdown calculations are for a simple strategy that takes a buy-and-hold approach on the SPY from the beginning of the year through to yesterday.
I hope the spreadsheet is clear. Please let me know if you have questions.
You will notice that, to calculate intraday drawdown, you will need to obtain the intraday % change for the Robots based on the High of the day (if short) or Low of the day (if long) for each day of the testing period.
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