Bactester Settings , Periodicity=Monthly, what is Drawdown based on?

If I am backetesting a strategy with Periodicity=Monthly. Does the Drawdown chart & Drawdown in Statistics, look through to the monthly low or is is based on the Close value for each monthly bar? I would think it would have to look at the intra-monthly low, not just the bar Close. Also, same question for the Portfolio B&H Security used as a Benchmark, is it end-of month or intra-month DD?

Is it possible to plot the strategy's DD and overlay the Portfolio B&H Security's DD? I know AmiBroker is extremely customizable so it may already be coded before I reinvent the wheel.



Check this thread if you have not. It covers quite a bit.
Also, peak drawdowns computed at Bar Close would not make much sense as Low.

How calculate the maximum drawdown in custom backtester - AFL Programming - AmiBroker Community Forum

Thank you NSM, I will take a good look at the link you provided...Mike

This topic was automatically closed 100 days after the last reply. New replies are no longer allowed.