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----- Message d'origine -----
De : <editorial@xxxxxxxxxxxxx>
>
> 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?
>
I usually evaluate the average price level where the maxdd occurs.
Then actualize this value according to the current value of the considered market.
As my trading system policy is to keep the system until the actualized maxdd *2 ( or 2.5) was met, I have never seen a system that I have tested over huge unseen database that met this fatal criterion.
Drawdown expressed as a percent of the price level should do the trick too, if you consider the price level reference in the drawdown zone ( alternate and more subtle calculation may be devised , but the important thing is to have a valid drawdown order of magnitude:
Drawdown is bound to be ounumbered in real world, but it's important to consider the actualized DD.
Sincerely,
-Pierre Orphelin
Neurofuzzy Logic tools for TradeStation
Free evaluation versions and competitive upgrades available
web: http://www.sirtrade.com
> 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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