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In the original query there was no explanation of how the maximum DD was
derived. If it is the one that is given in the system performance summary
after optimization, then it is most likely totally fictitious. One method of
establishing the MaxDD is to go through walk forward testing and study the
drawdowns implied by this, if necessary calculating it in excel to overcome
the breaks in between out-of-sample returns. Once you have done this over a
long enough period - then add 30%-50%.
Regards
-----Original Message-----
From: Niklas Andersson [mailto:niklas.andersson@xxxxxxx]
Sent: 30 April 2003 06:10
To: omega-list@xxxxxxxxxx
Subject: RE: when a strategy breaks the max drawdown
In my opinion, the right way to measure DD is the way Daniel described it
(or Tomas Stridsman) but I dont think the question about "what to do ..." if
the DD breaks the measured Max DD have been answered totally.
I had planned to bring this question up on the list because I have thought
about it so it would be interesting to hear from more peoples.
Regards
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