Calculating drawdown - running total with condition

[jan1]

Hello, I would like to calculate drawdown on trading account, quite easy in excel, not very easy in Power BI for me.

I have following data set Trade No., Net profit and I would like to calculate Balance and Drawdown. Balance is simple running total, so it is not a problem. But I have no idea how to calculate drawdown – drawdown from previous highest high.

Drawdown is calculated as Previous Drawdown plus Net Profit, but only if result is lower than 0 otherwise drawdown is 0.

Example:

Trade No	Net profit	Balance	Drawdown
1	100	100	0
2	-50	50	-50
3	-100	-50	-150
4	50	0	-100
5	50	50	-50
6	50	100	0
7	100	200	0
8	-100	100	-100
9	50	150	-50
10	200	350	0

 Thank you for any help.

[OwenAuger · Accepted solution]

Hi @jan1,

You could do something similar to this (alter to match your table names etc). Create the following measures:

(sample PBIX file here)

NetProfit =
SUM ( 'Trades'[Net profit] )

Balance = 
CALCULATE (
    [NetProfit],
    FILTER ( ALL ( 'Trades' ), 'Trades'[Trade No] <= MAX ( 'Trades'[Trade No] ) )
)

High Water Mark = 
MAXX (
    ADDCOLUMNS (
        FILTER ( ALL ( 'Trades' ), 'Trades'[Trade No] <= MAX ( 'Trades'[Trade No] ) ),
        "Bal", [Balance]
    ),
    [Bal]
)

Drawdown =
[Balance] - [High Water Mark]

[OwenAuger · Accepted solution]

Hi @jan1,

You could do something similar to this (alter to match your table names etc). Create the following measures:

(sample PBIX file here)

NetProfit =
SUM ( 'Trades'[Net profit] )

Balance = 
CALCULATE (
    [NetProfit],
    FILTER ( ALL ( 'Trades' ), 'Trades'[Trade No] <= MAX ( 'Trades'[Trade No] ) )
)

High Water Mark = 
MAXX (
    ADDCOLUMNS (
        FILTER ( ALL ( 'Trades' ), 'Trades'[Trade No] <= MAX ( 'Trades'[Trade No] ) ),
        "Bal", [Balance]
    ),
    [Bal]
)

Drawdown =
[Balance] - [High Water Mark]

[jan1]

Hi @OwenAuger,

you just made my day, thank you.

Could you help me on one more thing, I would like to extend the dataset and add new column - Strategy ID.

And I would like to calculate Balance and Drawdown not only for entire dataset but also according to Strategy ID.

I tried to modify Balance and High Water Mark measure by extending filter using && ('SumDataStrategies'[Strategy ID] = 'SumDataStrategies'[Strategy ID]).

It is not working.

Thanks.

[OwenAuger · Accepted solution]

Hi @jan1,

You should be able to do this using ALLEXCEPT.

Is everything in the SumDataStrategies table?

In my earlier formulas, change ALL(...) to ALLEXCEPT('SumDataStrategies', 'SumDataStrategies'[Strategy ID])

Something like that should work 🙂

[jan1]

I modified ALL to ALLEXCEPT and it works, except when Highwatermark was lower than 0.

So I modified Drawdown to this:

DrawdownStrategy = IF([HighWaterMarkStrategy] >= 0; [BalanceStrategy] - [HighWaterMarkStrategy]; [BalanceStrategy])

Now it works perfectly.

Thanks @OwenAuger