Unfortunately, the explanation regarding the drawdown is very minimal, even on the website and forums Metatrader maker though.
Only an article that discussed , it was the basis of the discussion is still using the old version of Metatrader where the only known Max Drawdown term only, while the Relative Drawdown unknown .
Note the backtest results above, which contained only Max Drawdown only. While Relative Drawdown, which is known in the current version of MetaTrader backtest, no.
In the backtest results, there is always a third value that is Absolute drawdown Drawdown, Max Drawdown, and Relative Drawdown.
Drawdown values that measure the level of risk is a robot. The higher the value of drawdown, the more risky the robot.
Drawdown Absolute value is the amount of loss that takes capital.
For example, the first time you run the robot, the robot does not immediately make a profit but a loss in advance (although it will return later) so that the capital "consumed". For example, the initial capital of 10,000 and losses suffered before the robot makes a profit is 2000, then listed in Absolute Drawdown is 2000.
What is unclear is the definition as well as differences and Relative Drawdown Maximum Drawdown.
Finally, after searching everywhere do not see well, I make his own interpretation of what the intent of Relative Drawdown Maximum Drawdown and is based on an article on the website maker Metatrader.
In my opinion, Relative Drawdown is the ratio of the difference between the highest and lowest peak that occurred during the robot travels to the top of the highest profit.
In the picture above is the Arrow 1, the Arrow 2 and Arrow 3.
As shown in the figure, a decrease from the highest peak occurs at the Arrow 3, so the value of the ratio of peak difference between the highest and lowest Arrow 3 is what will be shown as Relative Drawdown on backtest results.
Previous Drawdown Relative value is the Arrow 1, but because of the Arrow 2, which later formed Drawdown Relative value is larger then replaced with a value of Relative Drawdown Arrow 2, which was then replaced again with Arrow Drawdown Relative value of 3 because its value is greater than the Arrow 2.
Maximal Drawdown indicated by Red Arrow thickness on the far right, where the highest peak value is compared with the lowest overall total.
The conclusion that can be taken, the greater the value of Maximal Drawdown, the greater the risk of the robot as it shows the highest peak and lowest overall.
That is, if the value of Max Drawdown is very large, then the possibility of loss will be higher than the profit because the robot has a very sharp decline resulting in earnings and capital can be instantaneously vanish due to the sharp decline.
While Relative Drawdown does not depict actual risk due to temporary nature which are always replaced with a subsequent decline in value is greater.
Thus, it does not matter if the value of the Relative Drawdown Maximum Drawdown along its value remains small.
A good robot should have a small value of Maximal Drawdown, the smaller the value, it means that the robot will not experience a significant decline in profits due to loss and decline each time the robot will always succeed doing recovery.
Maximal Drawdown is very important because it shows the overall decline in value, unlike the case with Relative Drawdown in which only shows the temporary decline in profits.
Based on the above ideas, let us analyze the results of robot backtest Revision 3.a. below:
Revision Robot 3.a. Absolute value 567.22 Maximal Drawdown Drawdown of 4.03% and 33.81% Relative Drawdown.
That is, the robot Revision 3.a. so run will "eat" the initial capital $ 10,000 (Initial Deposit) due to a loss of $ 567.22.
Then during a trip to the top of the highest profit (Net Profit) $ 120,217,260.38 will experience the deepest decline due to loss of about 33.81% or $ 180,224.81 (Relative Drawdown).
Overall, the robot Revision 3.a. will only decrease due to loss of 4.03% (Max Drawdown).
After understanding the backtest results above, it can be concluded that the robot Revision 3.a. This is a robot that has a minimal risk to the ability to obtain the maximum profit.
No wonder, just a week carried forward test, the performance of the robot Revision 3.a. direct shot and beat the robots previous versions:)
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