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At 07:03 PM 8/10/2005, Adam Hardy wrote:
>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
Hi Adam,
It is quite possible that the drawdown of the combined longs and shorts is less than the drawdown of the shorts. It shows that the losing streak of your shorts was interrupted and mitigated by some winning longs in between. Nothing too weird there.
Also there is no reason why the max intraday drawdown cannot be a lot greater than your single trade loss. Max intraday drawdown is not the drawdown of an individual trade - it includes closed trade drawdown PLUS the max open drawdown of a single trade, at the worst point. You could easily have a string of losers to get yourself a much worse intraday drawdown than a single loss.
Hope that helps,
Mike Gossland
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