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Well, I can help you with one of your questions:
> What about a 15 000$ DD if This DD may have been reached when the market
> was at a price of 7.000$ whereas price is now at the 3 000 level. Or the
> inverse?
As another poster recently suggested -- take a position size (number of
contracts or shares) inversely proportional to the current price level.
That way it will take the same % change in the underlying price to give an
equal dollar drawdown and your drawdowns will be independent of the price
level.
Aaron
----- Original Message -----
From: "Synergy" <Synergy@xxxxxxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Thursday, November 06, 2003 2:24 PM
Subject: Risk and TS Maximum Drawdown or Updated maximum Drawdown
>
> Hello to all,
> I would like to know the opinion of the experienced system traders on
> the following question: :
> Did you found it is pertinent or not pertinent to take care of Updated
> Maximum Drawdown compared with TS Maximum Drawdown ?
> What do you do with the Max DD shown by TS System report as it is not
> actual price updated ?
> What about the risk to reward ratio of the system ? what about the
> Minimum capital required to trade the system? &
> I wonder why Tradestation does not shows both Max Instantaneous IDD and
> MAX Updated IDD ?
> Dont you calculate the present equivalent value of the max DD encounter
> by the system when you backtest ?
> What would happened to the one who begin to trade a system with 10 000 $
> Max DD if this DD was hit when prices was around 2000 and are now around
> 8000 ??
> I do not see any recommendations on this nowhere.
> Why ?
> Does somebody have coded a function to include on a system to calculate
> the max DD on a updated bar to bar basis ?
> Or could somebody do it for me ?
> Thanks to share your experience
> Regards
> Philippe
>
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>
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