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----- Original Message -----
From: M. Simms <prosys@xxxxxxxxxxxxxxxx>
To: <clayburg@xxxxxxxxxx>; <fritz@xxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>; Code List <code-list@xxxxxxxxxxxxx>
Sent: Monday, November 22, 1999 8:40 AM
Subject: RE: CL_Evaluating & Optimizing systems-Oct97,Oct98 WATCH OUT
> Agreed.....great post.
>
> In backtesting......regarding Max Drawdown.......watch-out for Oct 1997
and
> Oct 1998 time-frames !!!
> Your system may be terrific but the max drawdown may have occurred
somewhere
> in these times of high volatility and drastically fast down-moves.
>
It could also be the result of a "single contract" simulation - on an
otherwise good system. Try normalizing the contract size for volatility to
(attempt) to get a constant dollar swing in your account. Otherwise the
swings (inc drawdowns) will probably increase into the future - i.e. the
backtest is unreliable
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