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: Can the Oddballer's who marvel at Oddball's beautiful clothes answer this
: elementary question? What happened to the system from 5/21/2000 -
9/19/2000?
: Running 100 @SP contracts against $ADV with parameters 7,3,1 produced a
loss
: of $4,500,000 and a debt of $1,100,000. You are ruined. Now before you
: reply and say "ahh.. that is the problem... you are using the wrong
: parameters!", may I submit that you do not know the precise parameters to
: use in the future unless your settings are **ROBUST** and yield profits
(and
: cut losses quickly) in all kinds of market conditions.
:
: Using the "standard" settings may have done well in the past and done well
: since 9/19/2000, but how do you account for 5/21 - 9/19 ?
:
: I would really like to know how you plan to survive this period if we are
: at, say, 1/1/2000.
Simple: don't trade 100 contracts. Better yet, don't trade it until you run
a Monte Carlo Simulation to get an idea of what a realistic drawdown might
be. Then build your account up to the amount needed to trade it with some
peace of mind.
To trade 100 S&P contracts in 2000, you would have to put up approximately
100* 50,000 in margin (I don't remember the exact exchange minimum of that
time period but I do remember that the margins at my broker's FCM was around
that amount. The maximum the margins for the ND's ever reach was around
$70,000 per contract in that time period) or $5 million....add in the amount
needed to cover the drawdown calcuated from a MCS, you would need at least
$150,000 per contract or $15 million. Seen that way, 30% drawdown for a raw
continuous system is not bad. Refine it further, you can reduce the drawdown
to ~10% to 20%.
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