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I'm puzzled about the results that I'm seeing in my tests. As max
system % drawdown in a portfolio simulation, I see the following -
01/01/1999 to 12/31/1999 : -17.07%
01/01/1999 to 12/31/2000 : -13.39%
Note that the first half of the second period is same as the first
period. So if the first year had a drawdown of 17%, how and why does
it say in the second test that it was 13%? It should be >= 17%, no?
If I compare the resulting trades, the trades are identical for the
first period in both the tests.
Any ideas?
Jitu
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