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Go back in history, and test your system on the last week of each quarter.
It seems from observation that the choppy directionless sort of trading is
more the norm than the rarity during this time period. If your tests
validate my observations, you might consider skipping this period.
Chris Lober
----- Original Message -----
From: "Brian Keith Voiles" <admagic@xxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Monday, April 03, 2000 11:15 AM
Subject: [RT] Advice: Draw-Downs for S&P Day Trading System
> My daytrading system for the S&P 500 must be in a draw-down... is there
any
> data,
> studies, or information in general about how long a draw-down period
should
> last? I'm getting stopped out left and right... I've decided to go back
to
> paper
> trading until the draw-down period is over -- hopefully I've got enough
> money in
> reserve to cover my butt in the meantime.
>
> Although the last 5 trading days in March didn't work out very well for me
> (that's
> when my draw-downs started) I still made 260% ROI after commissions and
> other costs.
> In February I made a 464% ROI... with just 1 losing day... a loss of $423.
> In January I made an 83% ROI... with just 1 losing day... a loss of
$2,020.
>
> Now, here we are in the end of March and April and I've lost 31.7 points
> ($7,925)
> in the last 2 trading days... due to getting stopped out from the
> whipsawing in
> the price movement. (My research shows an optimum stop placement to be
> 4.8 points in the S&P -- Risking $1,200 per trade).
>
> I understand draw-downs are inevitable... but being fairly new to this
game
> (just
> under 2 years) I'm concerned because this is how I've been making my
living
> for over a year now. Any advice or suggestions are welcomed.
>
> Warmly,
> Brian Voiles
>
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