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Hi HC,
What you say is very true. However I think the key objectives in system
design are long term robustness, market generality and the lowest drawdown
consistent with the first two objectives. I have often found in system
design that an excessive amount of drawdown ( i.e, where drawdown apporaches
the total profit) may be an indication of a fundamental flaw in the design
(or lack of adaptivity) and the last thing that you want to do is to ignore
it and hope that position sizing will take care of the disease.
Can anything be done to reduce the drawdown of long term systems?
e.g., shorten the time frame to permit postion adjustment more frequently,
don't take trades if the volatility is too high etc.
Cheers,
Ric
From: hcarvas <hcarvas@xxxxxxx>
To: Ricardo May <ricardo_r_may@xxxxxxxxxxx>
CC: markbrown@xxxxxxxxxxxxx, omega-list@xxxxxxxxxx
Subject: Re: Commercial trading systems opinions
Date: Sun, 02 May 2004 07:20:11 -0400
Hi Richardo,
The drawdown may be unacceptable to you if you trade a single market.
However, if you use one system, trade multiple markets and use position
sizing (money management), you may find that the overall portfolio drawdown
is acceptable to you. This would smooth your overall equity curve
somewhat. Still risk and reward often go hand in hand. If you want a
higher return on investment, generally it means that you need to tolerate
higher drawdown.
hc
Ricardo May wrote:
Hi Mark,
Thanks for the information. I did get a copy of Active Trader and have
been exploring the system. Very interesting - high profit but alas high
drawdown as well. Trying do see if the drawdown can be reduced without
sacrificing generality.
By the way you have also made available in the public domain a counter
trend approach using Kaufman's Efficiency Ratio based approach. How does
this approach compare performance wise and generality with the above
approach published in Active Trader?
Thanks,
Ricardo May
PS. Thanks also to James Mills, Sethw2@xxxxxxx, Jeff Gilfillan and VK for
their views about commercial trading systems.
From: Mark Brown <markbrown@xxxxxxxxxxxxx>
Reply-To: Mark Brown <markbrown@xxxxxxxxxxxxx>
To: Omega List <omega-list@xxxxxxxxxx>
Subject: Re: Commercial trading systems opinions
Date: Fri, 23 Apr 2004 03:38:15 -0500
Hello Ricardo,
Buy the May issue of active trader magazine there is a system in there
which has out performed all those systems you have listed and it's
free. not one of those systems has out performed on the same Active
Trader standard portfolio.
RM> Any opinions of the systems based on personal experience? Is there
RM> any value here, any original ideas? Anything better?
RM> Thanks,
RM> Ric
--
Thank You,
Mark Brown
www.markbrown.com
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