One Hell of a draw down

B

Bluegar3

Just wondering your comments...

- The x axis is num trades, and the start date is nov 8th 2007.
- also, this strategy is MARKET NEUTRAL! I use no stops or Profit targets
 

Attachments

Is it a mechanical strategy or a discretionary strategy? If its mechanical, then I think you have re-examine your parameters. If its discretionary, I would re-examine your psyche.
 
so what do you mean when you say "market neutral?"

It might not be as market neutral as you think.. it seems to go into drawdown when the market exhibits wide range bars
 
Quote from Bluegar3:

mech.

market neutral as in = $ long, = $ short
More...

do the long $ have the same beta as the short$ ?

for example, if you are long microcaps and short spy, it's not a 1:1 hedge.
 
This is a very good strategy when the markets are behaving well. When the market takes a hit on the crack pipe stops get triggered in both directions. I suspect that is what happened.

Quote from Bluegar3:

mech.

market neutral as in = $ long, = $ short
More...
 
Quote from dozu888:

do the long $ have the same beta as the short$ ?

for example, if you are long microcaps and short spy, it's not a 1:1 hedge.
More...

actually I use std deviation, but yes std dev neutral
 
Quote from Bluegar3:

actually I use std deviation, but yes std dev neutral
More...

explain what kind of system it is, and maybe I can provide some more input.
 
Quote from ProfitTakgFool:

This is a very good strategy when the markets are behaving well. When the market takes a hit on the crack pipe stops get triggered in both directions. I suspect that is what happened.
More...

definitely what happened. I use a similar strategy but use more options in markets like this. Unless it was midday today, being long anything is just not worth it.
 
You must log in or register to reply here.
Back
Top