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Dans un courrier daté du 13/09/98 00:03:29 , vous avez écrit :
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I now make a quarter of a million. The maxDD is $120,000 BUT...I feel this
is an artificial MaxDD...since I only buy more contracts if I have more
NETPROFIT
1. Is this LOGICAL?
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yes and no.
TS report should be interpreted in this case.
You must check how many contracts were involved in the market when MaxDD
occured.
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2. Is the MaxDD $2,800 or $119,637 or something in between?
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You need to always refer to a constant number of contracts when pyramiding.
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3. I think Kaufman would argue that in the first system risks are constantly
decreasing, but in the second system...risk is a constant....does this
constant risk mean this is a time bomb? Got any simple math to prove it?
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Risk is as constant as in your first performance summary (no pyramiding) if
you rescale the drawdown vs contracts in the market.
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4. Can a MonteCarlo simulation be done on this system or does this again not
work since postition size increases with netprofit...so the odds of a huge
drawdown really early actually don't exist since the contract quantity traded
early on would be very low.
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A MC simulation applied to the raw trade serie is meaningless in this case, as
the number of contracts depends on the previous accumulated profit...
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5. Can this system be traded with $2,800 or even $10,000...rather than
$120,000?
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See above.
Probably with around $ 8000 with 1 contract as starter . More in fact as
deposit is missing.
Do not forget costs and slippage too that will change DD, then initial
capital.
Sincerely,
Pierre Orphelin
www.sirtrade.com
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