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Carroll wrote:
> I think the individual drawdowns, when
> performed over such a long time span,
> should be calculated as percentages
> and the max PERCENTAGE reported.
It doesn't matter how you calculate it; it is not valid to apply system statistics from the markets of 10, 15, or 20 years ago to derive expectations for today. The markets (and certainly the spoos, which was the market which was mentioned in the original question) are too different today.
There may be some way to derive "valid" drawdown expectations for today's markets based on longer-term history. But I do not know what that method is. Certainly, simple calculation of drawdown as a percentage will not do it. Pierre?
Of course, you could test your hypothesis... Check the drawdown on the system from, say '85 to '95 then check the drawdown from '95 through the present and see how the percentages compare...
---- you wrote:
> I think the individual drawdowns, when performed over such a long time span,
> should be calculated as percentages and the max PERCENTAGE reported.
> (Percentage would be drawdown in dollars divided by the total value of the
> contract at the time.)
>
> Carroll Slemaker
>
>
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