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Initial evaluation of L1-S1 Equity Curve ...
I assume you looked at the equity curve, but in case you didn't see
attached.
Maximum Drawdown 43% ... Way too heavy for my stomach.
Equity Peak ... Occurred on 9/10/02.
Longest Period of flat to down Equity ... More than 7 months.
These are the kinds of things I look at when I build, test and optimize
systems and try and decide whether or not I can live with them. I
always like to assume that the place I'll start trading any system is
where the worst DD's and/or the longest flat to down equity period are
about to occur and in the case of this system if that scenario played
out then over the next 7 months you could expect to be down 43%. Do you
find this viable.
Fred
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UM-Equity Curve.png
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