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This is similar to my experience with TS6. Alarming inconsistency in the
reports.
I agree with your conclusion: it is useless, or worse, for trading or for
system development. If the reports are not rock-solid in their accuracy, the
whole product is questionable.
I don't know whether 7 will ever be any better, and would certainly not
assume it is without convincing evidence.
> -----Original Message-----
> From: Maceo Jourdan [mailto:maceo@xxxxxxxxxxx]
> Sent: Wednesday, April 30, 2003 11:12 AM
> To: omega-list@xxxxxxxxxx
> Subject: RE: when a strategy breaks the max drawdown
>
>
> My experience has been quite different, it seems.
>
> The difficulty we encountered in estimating max DD was in the report it's
> self. I'll give you an example. We ran a series of optimizations
> on TS6 on
> three different machines. (two with exactly the same hardware) All the
> cache data was flushed and downloaded for the @ES.D. Despite this, all
> three machines had very different reports and vastly different
> equity curves.
>
> Recently, we attempted to verify tests done several months ago, again on
> the @ES.D. The strategy went from a profit to a loss using the same date
> range and the same settings on the strategy.
>
> My understanding, from Sam Tennis and techs at Tradestation, is that the
> report by Rina Systems has had some unknown flaws for years. So,
> given the
> lack of consistency in the reporting, how would you estimate max DD?
> Not to mention, that the reporting is TS's SOLE reason for
> existence! If it
> has flaws, or can't be supported by TS (earlier than the recent Beta
> version offering) WHAT IS THE USE OF THE THING???
>
> At 12:10 AM 4/30/03 +0200, you wrote:
> >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 people´s.
> >
> >Regards
> >
> >_______________________________________________
> >
> >Hi Todd,
> >
> >in my opinion is the way you describe the Drawdown totally wrong.
> >You shouldn´t give the Strategy Report in TS any value because
> it just tells
> >you the $ amount of the drawdown- not when and where ist happend....
> >You should learn to think in terms of % rather than in terms of $.
> >Let me give you an example:
> >
> >Lets say you bought a stock at 100$. You sell it at 90$. So your
> drawdown is
> >after this trade 10$ or 10%.
> >The next time you buy that stock is at 200$. This time you sell
> is at 190$.
> >So you drawdown is again 10$. But the main and most important difference:
> >this drawdown was only 5%- half the drawdown when the stock
> traded at 100$.
> >
> >So, when you test a strategy the $ amount of drawdown is useless
> beause it
> >doesn´t tell you when and where ist happend.
> >
> >Best wishes from Bayreuth,
> >
> >Daniel
> >
> >
> >
> >----- Original Message -----
> >From: "Todd Hoff" <gatrboots@xxxxxxxxx>
> >To: "Omega forum posting" <omega-list@xxxxxxxxxx>
> >Sent: Monday, April 28, 2003 12:44 PM
> >Subject: when a strategy breaks the max drawdown
> >
> >
> > > Hello Everyone,
> > >
> > > I could really use everyone's thoughts on this topic
> > > which always seems to happen to me. Sorry if this
> > > topic has already been discussed:
> > >
> > > In your opinion, when or by how much do you
> > > realistically stop trading your strategy when it
> > > breaks the max historical drawdown?
> > >
> > > For example. Let's say, that I back-tested my strategy
> > > for the last 5 years and the max historical drawdown
> > > on this e mini sp system on a 1 contract basis was
> > > $3,000. I was once told that we should give it some
> > > leeway when ,in real time trading, it approaches the
> > > max drawdown. Someone told me once to give it 20%. So
> > > in this example, we would stop trading the strategy
> > > when it reached $3,600. Others have told me give it
> > > 50%.
> > >
> > > I don't know if it is just murphey's law or just some
> > > not so great systems, but every system that I have
> > > traded, always breaks the max drawdown substantially
> > > and it usually falls apart after trading it real time.
> > > It seems that we just never know how much to allow
> > > the system to exceed the max drawdown.
> > >
> > > Sometimes I have stopped trading a system too early ,
> > > when it barely broke the max dd and then recovered and
> > > other times, I might have given it even too much
> > > leeway when it broke the max dd, since it continued
> > > drawing down even after stopping it.
> > >
> > > Your input will be very welcome and helpful to me.
> > >
> > > Thanks,
> > >
> > > Todd Hoff
> > >
>
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