Aggressive Systems Trading Drawdowns

[faure]

It's fine to be confident about what can handle but you're really shooting yourself in the foot when you endure 20-50% drawdowns which, with a 50% win rate risking 5%, will guarantee this being a regular occurrence. This is because of that nasty thing called asymmetrical leverage.

 

[apex82]

Quote from Businessman:

Todays results: +4%

The seven day losing streak has come to an end.
But the drawdown might not have bottomed yet..

Current Drawdown: 27.6%, Duration: 16 days

<img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=1678014></img>

what is it long only?

 

[Businessman]

Quote from faure:
Asymmetrical leverage.

The system has been carefully designed so that the effects of asymmetrical leverage cause only a moderate degradation in overall returns.

 

[Sponger]

Quote from apex82:

what is it long only?

Good observation.....does this system go long and short Businessman?

 

[apex82]

Quote from Sponger:

Good observation.....does this system go long and short Businessman?

makes sense.. that is why his drawdown was always at a maximum of 30% through the backtesting... we were in a bull market. Classic case of murphy's law....

 

[Businessman]

Good observation.....does this system go long and short Businessman?

It is a long/short system that trades stock index futures aswell as currencies and commodities.

Quote from apex82:

makes sense.. that is why his drawdown was always at a maximum of 30% through the backtesting... we were in a bull market. Classic case of murphy's law....

The 30% figure was for 95% confidence, 5% of drawdowns will exceed 30%, the largest drawdowns from back testing exceed 50%.

 

[Businessman]

Since i last posted the drawdown has increased to 36%.

The last three days were all losers.

This drawdown has lasted 19 days so far.

There have been only 3 winning days in the last 15 days.


<img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=1682356></img>

 

[Spectre2007]

one of the systems I follow.

 

[Spectre2007]

drawdowns are usually 30% on aggressive systems.

you only live once.

 

[Businessman]

Quote from Spectre2007:

one of the systems I follow.

If i had 300K back in 1980 than i would have been happy earning 30% a year too.