How to calculate the final drawdown for several trading strategies

[GauFei]

Hi, I would like to calculate the final drawdown for several strategies. What I did so far yields correct results as long as the page is filtered for a single strategy, but I like to get the result for all strategies at once. The data looks like this: 

There are different datetime stamps. The strategy and its profit or los are recorded. To calculate the drawdown I used the following formulas:  

CumProfit = sum(Trades[Profit])

CumProfitByDateTime = CALCULATE([CumProfit], FILTER(ALLSELECTED('Trades'), 'Trades'[DateTime] <= MAX('Trades'[DateTime])))

PeakByDateTime = MAXX(FILTER(ALLSELECTED('Trades'), 'Trades'[DateTime] <= MAX('Trades'[DateTime])), [CumProfitByDateTime])

DrawDownByDateTime = [CumProfitByDateTime] - [PeakByDateTime]

LastDateTime = LASTNONBLANK('Trades'[DateTime], TRUE())

As long as I only select one strategy the result is correct:

  

As soon as I select more than one the result is not correct: 

How do I need to change the formulas, so that I get the correct result also when all strategies are selected?

[Patrader]

I would like to get the Max Drawdown for specific Strategy,

Also when I select a combination of multiple Strategies\(Where I built Portfolio) for a filtered period, could be a couple days/month or 2-3 -4 years.

My Model and Relationship are

All my trades are in one table.

All trategies in 1 table.

All portfolio are in 1 table, combination of multiple Strategies

Calendar table

Definition of Max Drawdown (MDD) is the maximum observed loss from a peak to a trough of a portfolio, before a new peak is attained

Below picture is from my trading software, Green graph is Cumulative net profit, and red is Max Drawdown, I need to be able to get in BI the same MDD, so the MDDhas been reached from Peak Dec 16/21 to march 10,22.

_1_Master_Trade_Combined

TradeID	Bots.Account	Data.Exit time	P & L
7757	Bot_ES_MU	2023-01-05 10:30	-568
7743	Bot_ES_MU	2023-01-06 16:00	2558
2757	Bot_CL_WC	2023-01-09 10:35	-675
7737	Bot_ES_MU	2023-01-09 13:30	82
2756	Bot_CL_WC	2023-01-09 16:00	375
7698	Bot_ES_MU	2023-01-12 15:00	-568
7690	Bot_ES_AP	2023-01-13 10:30	-1318
2751	Bot_CL_PP	2023-01-13 16:35	335
7686	Bot_ES_MU	2023-01-17 11:00	-568
2749	Bot_CL_MG	2023-01-18 16:00	705
2750	Bot_CL_WC	2023-01-18 16:00	715
7671	Bot_ES_MU	2023-01-18 16:00	1895
7669	Bot_ES_MU	2023-01-19 13:30	45
7659	Bot_ES_MU	2023-01-20 16:00	2432
2747	Bot_CL_PP	2023-01-20 16:35	165
2746	Bot_CL_WC	2023-01-23 10:10	-665
7635	Bot_ES_MU	2023-01-24 10:30	-568
7623	Bot_ES_MU	2023-01-25 10:30	-568
7628	Bot_ES_AP	2023-01-25 11:30	8
2744	Bot_CL_MG	2023-01-27 14:30	205
2745	Bot_CL_WC	2023-01-27 14:30	225
2742	Bot_CL_PP	2023-01-27 16:35	-225
2741	Bot_CL_WC	2023-01-30 11:40	-175
7604	Bot_ES_AP	2023-01-30 16:00	808
7597	Bot_ES_MU	2023-01-30 16:00	745
7588	Bot_ES_MU	2023-01-31 16:00	995

Portfolio

Portfolio	Bots.Account
Port #1	Bot_ES_MU
	Bot_ES_MU
	Bot_CL_WC
	Bot_CL_PP
Port#2	Bot_CL_WC
	Bot_ES_MU
	Bot_ES_AP
Port#3	Bot_CL_PP
	Bot_ES_MU
	Bot_CL_MG
	Bot_ES_AP

I need to add Column of MDD first (and be able to generate a bar graph), the previous suggestion in this thread is not reflecting the MDD as I described above.

Thanks

[Patrader]

adding my DAX

CumProfit = SUMX(_1_Master_Trade_Combined, _1_Master_Trade_Combined[P & L])

CumProfitByDateTime = CALCULATE([CumProfit], FILTER(ALLSELECTED('_1_Master_Trade_Combined'), '_1_Master_Trade_Combined'[Data.Exit time] <= MAX('_1_Master_Trade_Combined'[Data.Exit time])))

PeakByDateTime = MAXX(FILTER(ALLSELECTED('_1_Master_Trade_Combined') , '_1_Master_Trade_Combined'[Data.Exit time].[Date] <= MAX('_1_Master_Trade_Combined'[Data.Exit time].[Date])), [CumProfitByDateTime])

DrawDownByDateTime = calculate(_1_Master_Trade_Combined[CumProfitByDateTime] - _1_Master_Trade_Combined[PeakByDateTime], all (_1_Master_Trade_Combined[Bots.Account]))

High Water Mark =

MAXX (

    ADDCOLUMNS (

        FILTER ( ALL ( '_1_Master_Trade_Combined' ), '_1_Master_Trade_Combined'[TradeID] <= MAX ( '_1_Master_Trade_Combined'[TradeID] ) ),

        "Bal", [CumProfitByDateTime]

    ),

    [Bal]

)

[Patrader]

Hello, 

The above works DAX however, it is for every day 

Instead to get Drawdonw per day, I would like to find MaxDrawdown for a period I would select. Not per trade or per Day!

1-if only one Strategy Selected, the Drawdown for the Period selected, 

2- Multiple stategy selected to get the Max Drawdown for the period selected, (the Max Drawdown for the selected Strategy, as exemple a portfolio of multiple strategy)

[mh2587]

DrawDownByDateTime = calculate(table[CumProfitByDateTime] - table[PeakByDateTime],all(table[stragtegy])

[GauFei]

Hi, @mh2587 , Thanks, but this gives the total drawdown over all strategies (also nice), but I wanted to have the final drawdown of each single strategy in one table/ visual. It should look like this: 

[mh2587]

Then use sumx function