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<I am curious, my goal is to out perform Buy and Hold, if I cannot
what is the point of putting in all the extra effort? Could you
perhaps explain why you feel this number is of no use?>
Jayson,
In the System Report I posted, there were 2339 trades of $20,000 per
trade. My average trade holding period for Winning trades was 5.2
bars, and the avg holding period for losers was 2.6 bars. While the
System Test Report does not show it, using Excel to slice and dice the
trades, I know that I had enough capital to actually trade this system.
The reported Buy and Hold profit was $147.5 million dollars, and to
get that return, I would have personally had to have invested $46.8
million for the Buy and Hold period on those 2000+ stocks. That is a
bit of a reach for me ;-)
Also, the reported B&H max drawdown was $-76.7 million... BUT WAIT...
how could the B&H max drawdown have exceeded the amount invested by
$30 million? Maybe margin played a part in the calculations? But I
personally don't use margin, and even with margin, your broker would
have issued margin calls, forcing you to sell your positions out. In
other words, there is no way you would have lost more than you had.
The only possible B&H figure that might have a useful comparative
value is the B&H Percent Return when compared to the RAR percentage
figure.
But I would appreciate knowing how you use the B&H figures for
situations like this. I might be missing something.
Regards,
Phsst
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