Adventures in Automation
- Thread starter fan27
- Start date
Does that match your max drawdown from before you went to live trading?
No. Max draw down was 20%. Well within portfolio performance expectations.
Sorry for the late journal entry...too busy on Friday when these orders took place.
Exit 1 ES at 2853
-$1579.10
Exit 1 YM at 25632
-$1269
The current drawdown in context. Attached is a several year backtest of the strategy portfolio I am currently trading. I included just a few years so there would be some "definition" to the chart. Still way above trend line and not a surprising dip given the massive run up.
Attachments
Nice equity curve!
I think, however, that it would be more illuminating, and easier to assess the run-up and drawdown in context, if you re-posted with a log-scaled Y-axis. Also a vertical line on the chart on the date of the start of live trading, or change the color of the chart-line (not the fill, leave that the same) for actual trading vs. backtest.
Thanks!
The first chart is the original linear chart with a line indicating when I actually went live. I have made several tweaks to the portfolio since I went live as my tech has improved, so the current strategy portfolio I am trading is not the exact portfolio I have traded since then , though all the portfolios have pulled from mostly the same strategy candidates. My live percentage return since the go live line is just about 30%.
The second chart shows the log scale. Not as pretty as the first chart IMO.
The first chart is the original linear chart with a line indicating when I actually went live. I have made several tweaks to the portfolio since I went live as my tech has improved, so the current strategy portfolio I am trading is not the exact portfolio I have traded since then , though all the portfolios have pulled from mostly the same strategy candidates. My live percentage return since the go live line is just about 30%.
The second chart shows the log scale. Not as pretty as the first chart IMO.
Try the second chart with the y-axis minimum set to around $62.5k, leave the max the same. It will look much prettier! The problem with the second chart is that the starting capital at X = start-of-backtest date is too high on the X axis.