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: One thing you can do from the get-go when developing a system is build in
a
: rule to only take trades when the system's equity curve is above a moving
: average of it's equity curve. This way, when the system goes into a
: drawdown, it will stop itself. Of course, this becomes another parameter
: that you must consider when deciding whether you've curve fit something.
This is not going to work. It's the old question of : which came first, the
chicken or the egg? Gary covered this in detail before but essentially,
using this filter on an equity curve changes the equity curve,etc.
: Best answers: 1) test on as much data as possible, 2) don't scale too
: aggressively, 3) trade multiple non-correlated systems, 4) be sure you
have
: enough capital to survive MaxDD * 2 and still eat.
Or do a Monte Carlo Simulation to get a realistic probability of drawdown
and then build trhe account size around that.
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