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Tomasz, there is something wrong with this AA result field. It is
giving data that is at odds with results I have been seeing for years.
Most of the readings are in the -70% to -100% range. 100% draw downs
are not common in typical systems. I would expect to see numbers in
the -30% to -70% range for systems that do not attempt to minimize
Mdd. Numbers in the -20% to -40% range are more normal for systems
that try to minimize Mdd.
Are you using peak to trough equity during the course of a single
trade? Mdd is traditionaly done on a trade by trade basis not on an
aggregate basis. Also it depends on whether you are talking about
changes in profit or changes in total trade equity. I believe total
trade equity is what should be used.
The measures that I expect to see are Mdd, peak to trough equity
variation during a single trade; then exit equity - entry equity
(profit); and entry equity - trough equity (nearly useless imo).
These are normally presented on a best/worst trade basis.
With good Mdd data I can take the worst draw down trade and examine
it to see what went wrong and then modify the trading system to
improve that result with out destroying overall results. The data we
have now would be much improved with the addition of per trade data.
Cheers
Trader
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