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Volker,
Don't do it like that. You have to put randomized performance results
in and they also HAVE TO HAVE OVERSTATED RETURNS. If you don't have
the overstated returns then your product will not be the same as
Tradestation. Don't lag behind the leader. Copy Tradestation exactly
but add more features, like TS7, that don't work without fixing the
features in TS6 that didn't work, or the features in TS2ki that still
don't work... and on and on.
FOR THOSE OF YOU THAT ARE NOT TOO BRIGHT THIS IS A JOKE. PLEASE DON'T
TAKE IT SERIOUSLY LIKE A HALF DOZEN USUALLY DO.
Jimmy Snowden
Wednesday, April 30, 2003, 4:17:38 PM, you wrote:
Charles> You're just jealous because Wealth-Lab probably doesn't have that feature.
Charles> It probably produces the same performance results each time you run the same
Charles> system on the same data, which can get really boring.
Charles> When are you Wealth-Lab guys going to put "randomize performance results"
Charles> into the product?
>> -----Original Message-----
>> From: VK [mailto:volker@xxxxxxxxxxxxxx]
>> Sent: Wednesday, April 30, 2003 3:57 PM
>> To: 'Maceo Jourdan'; omega-list@xxxxxxxxxx
>> Subject: AW: when a strategy breaks the max drawdown
>>
>>
>> Maceo.
>>
>> With all respect, I can not believe this. From my experience you might
>> have had slightly different settings on the different TS machines
>> (commission, slippage, ...).
>>
>> Whooo, here I am defending TS :)
>>
>> Regards.
>>
>>
>> Volker Knapp
>> Wealth-Lab Inc.
>> www.wealth-lab.de
>> www.wealth-lab.com
>>
>>
>>
>> -----Ursprüngliche Nachricht-----
>> Von: Maceo Jourdan [mailto:maceo@xxxxxxxxxxx]
>> Gesendet: Wednesday, April 30, 2003 5:12 PM
>> An: omega-list@xxxxxxxxxx
>> Betreff: 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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