Drawdown duration, periods

Feature Requests
1

Superb platform, very robust and thought out. Just a couple of quick suggestions related to Drawdowns.

First, in addition to the Max Drawdown column in the strategies list / sim summary, it would be very relevant to know the duration of that Max DD (a deeper but brief DD might be more acceptable than a shallower but much longer DD).

Second, for a deeper dive into this aspect, it'd be very helpful to have a report/tab containing the list of drawdowns, along with their depths and durations. See for example the summary below from an unnamed (and inferior) competitor :slight_smile:

Thank you very much!

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4 Likes
2

just today I was thinking :thinking: about it. It s a key factor to know the duration of drawdons of benchmarket for example and to be capable to compare with your model

Absolutely agree

3

Superb! Let's vote this up then :slight_smile:

1 Like
4

Very good idea. Alternatively, a measure combining max drawdown and duration could be useful (like a long-term Ulcer index Ulcer Index and UPI Measure Investment Risk and Risk-Adjusted Performance)