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My only point was that, if you had opened a new account in early October
and bought Dec SP futures planning to hold and roll at expiration, you
would have had to suffer through a real, in the red, drawdown of
$65K/ct. Given the increased margin requirements during the crash, you
probably would have needed about $100K/ct in your account to avoid
getting a margin call.
One quick and dirty way around the problem in backtesting is to make
your buy and hold system exit and reenter frequently. Then the MaxDD
figure will more accurately reflect worst case DD.
Dave Stanley wrote:
> Dennis. I either disagree or don't understand your point on the risk issue.
> As a daytrader of my own mechanical system, (the only standard I have to go
> by) there is a
> distinct difference in drawdown while in the red and drawdown while in the
> black.
--
Dennis
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