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Does anyone using TS4 or who can cast their mind back sufficiently know
whether there's a bug in the System results analysis on max intraday
drawdown figures?
For a system I'm working on for the Euro/USD futures, I get this max
intraday drawdown:
Whole system: 12,000
Long: 10,000
Short: 15,000
which doesn't make sense as the whole should surely be the greater of
the long or the short?
Also suspicious is the fact that the maximum closed out loss is only
2000, and the move represented by 12,000 dollars drawdown is 0.1000, in
a future where the average true range is 0.0100 - and my stops would
have kicked me out on such a day - which never happens.
Thanks
Adam
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