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Hi Tomasz,
>> a) single trade may not use 100% of portfolio equity (depending on
position sizing scheme used)... <<
This system was trading QQQQ and 100% of portfolio equity was used in
each trade. Volume is not an issue here because the QQQQ's volume is
in the 10's of millions and the maximum number of shares traded was
4,414.25. In this case cash is effectively zero and the interest rate
is set to zero as well.
That means the equity in every trade is the portfolio equity.
I studied the equity curve VERY carefully. There is no drawdown
anywhere near the Max. trade drawdown. The largest drawdown is the
Max. system drawdown.
Here are the numbers from the report:
Max. trade drawdown -31494.28
Max. trade % drawdown -30.51 %
Max. system drawdown -20433.87
Max. system % drawdown -15.47 %
Given the situation I have described, I don't see how a single trade
drawdown can exceed the system drawdown. The numbers just don't make
sense to me.
Bill
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