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Mark H,
Interesting and fun thread, with unexpected twists and turns.
<Absolutely. Average 126% for the last three years.>
CAR or RAR?
<Backtest helps a lot to pull the trigger when you are down 40%.>
Trade Drawdown or System Drawdown?
<Just small bets and small wins/losses, and a lot of them.>
Small bets... OK. Small wins/losses... yeah most of the time, but
with probable occasional bigtime homeruns and putholes.
<Yes. It is some trend indicators based on major market indexes. Use
Foreign functions.>
Yeah, I've got a system that sounds similar to yours... strong stocks
that pullback, then trade the pullback.
Depending upon which measurements you discussed, I think my system
might be very similar, (but mine is an EOD system, not real-time).
If I ignore trading volume, I can get unbelievable results with only
16% System drawdowns, but when I add the trading volume filter to
insure that my backtested trades won't skew the market in the
individual stocks, my CAR drops precipitiously (to 18.5%) while my RAR
is at about 135%... and my System Drawdown increases to about 40%.
Thru sheer instinct, I've traded my system off and on (ie.
infrequently), with OK results (not the reported backtest CAR).
I've used major indexes in Foreign measurements to try to moderate the
40% system drawdown, without success. Any attempt at using foreign
measurements always results in belated reporting (after the trade
losses had already occurred). If you can shed more light on your use
of Foreign measurements, great, but after my backtesting I cannot see
any way to use them to moderate the system drawdowns since my
measurements are in a 'look back' mode... but then again, maybe you
are speaking of 40% system drawdowns 'AFTER' the foreign functions
have kicked in.
Anyway, keep up the posts.
Rgds.
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