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Phsst,
I don't like the trade drawdown more than the system drawdown. I used
to think that having a large trade drawdown was OK as long as the
system drawdown was small, and I think I was wrong.
As a daytrader I take and close out positions daily. Imagine having
lost 7% on a single trade and having to close out the position at the
end of the day...you just registered a huge loss. You are left with
negative emotion, frustrated because of the lost money. You start to
worry about your trading capability and such. I know it's
psychological stuff but quite important one IMO.
So, as I mentioned earlier I limit my loss at 3%, no matter what. For
whatever reason or for no reason, if stock moves 3% against me, I get
out. I'd rather not lose 3%, but settling for a 3% loss is certainly
better than not having a stop and have a potential to lose big.
--- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxx> wrote:
>
> Fred's point is accurate IMO....
>
> If the Trader has spent blood, sweat and tears over a period of years
> building up a serious trading equity, then a 28% System Drawdown would
> be demoralizing (only after causing a serious case of "Butt Pucker").
>
> A subsequent post from Ed showed a 'Max Sys DD = -3.6%', but only
> included 48 trades... which because of the small number of trades
> seemed to me to be statistically irrelevant.
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@> wrote:
> >
> > A Comment and a suggestion ...
> >
> > - DrawDowns ... I could be wrong but I suspect most people can't
> > tolerate 28% DD's ... To bring that number down to the point where
> > at least some people would be comfortable with it using real money
> > one would I think have to cut it half. Doing that with an existing
> > system by restricting how invested one is will result in the CAR
> > being reduced to the square root of its original number.
> >
> > - Objective Testing ... Take your data, cut in half ... Optimize
> > your system over half of the data and then test the parameter values
> > on the other half. This rudimentary view of out of sample testing
> > will give you some idea of what you are likely to experience in real
> > trading as opposed to totally in sample results.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "intermilan04" <intermilan04@>
> > wrote:
> > >
> > > Since I have optimized my system between 1996-2006, I guess the
> > > answer would be the same time period.
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@> wrote:
> > > >
> > > > That doesn't answer my question ...
> > > >
> > > > In the development of the system what range of data ( time
> > period )
> > > > did you use ? The same time period ? An earlier one ?
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "intermilan04" <intermilan04@>
> > > > wrote:
> > > > >
> > > > > The numbers are the result of backtesting my system with
> > > > > NASDAQ and NYSE tickers (around 7000 tickers) between
> > > > > 1996/1/1~2006/1/1.
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@> wrote:
> > > > > >
> > > > > > Are the numbers you posted in sample or out of sample ?
> > > > > >
> > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "intermilan04"
> > <intermilan04@>
> > > > > > wrote:
> > > > > > >
> > > > > > > I know it depends on what you want personally for
> > risk/reward,
> > > > but
> > > > > > I'm
> > > > > > > curious as to what other people's systems (developed in
> > > > Amibroker)
> > > > > > are
> > > > > > > performing like. You don't have to share your code or the
> > idea
> > > > behind
> > > > > > > your system (unless you want to), but I'm curious.
> > > > > > >
> > > > > > > Over the last 10 years, say, what is your annual profit %,
> > max
> > > > > > > drawdown, % winning trades, etc.?
> > > > > > >
> > > > > > > I have a long system that has returned around 110% since
> > > > 1996. Its
> > > > > > > winning % is 47%, and the system drawdown is 28%. It is a
> > > > > > > reversal-based, swing-daytrade system.
> > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
>
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