[amibroker] % System Drawdown as filter

["haders2003" <haders2003@xxxxxxxxx>]

Hi

I'm interested in any comments regarding the use of % system drawdown 
as a filter.  By this I mean, only buy when % System drawdown is less 
than, say -5%.

I have applied this to 2 trend following systems (Linear Regression 
and MA)and in both cases, although CAR was slightly reduced, most 
other measures of system performance were much improved.  These 
included RAR, exposure, CAR/MDD and of course Max % System Drawdown.

The way I implement this filter is to run the system as normal and 
save a plot of % system drawdown, renamed to Sysdd.  I then add code 
to the original system so that no new positions are opened if Sysdd 
is below -5%.

Am I missing something here (it wouldn't be the first time!)?

All comments are appreciated

Regards

Haders


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