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Thank you Aaron,
But this do not answer my question or I did not understand well your answer:
Backtesting a system begin for me with One contract, without any
position sizing model.
I do not want to choose and put position sizing on a system before
having evaluated it correctly among others systems for one contract.
And to do it I need to have a good backtesting system report with at
least an updated maximum drawdown for ONE single contract.
I do not see how to do it differently.
So is the reason of my question for Updated Max DD
Or am I wrong somewhere ?
Thank's
Regards
Philippe
Aaron Schindler a écrit:
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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