trading my equity curve

Originally posted by Gordon Gekko
here's a reason i like this thread.

say you looked at a chart of your equity curve and it started to look like the nasdaq when it peaked in 2000. would you or should you do anything about it? if so, what?
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GG,

Its a good idea to make sure that your equity curve reflects a single position size (every trade = 1000 shares or whatever)
otherwise, if you increase your position size, your equity curve will be skewed in your perception and the drawdowns will be more volitile relative to drawdowns earlier in the curve.

If your equity curve with a single position size throughout STILL looks like Nasdaq 2000, then you are on your own..
(maybe you will need to determine if YOU are a "Speculative Bubble")
:D :cool:
 
Originally posted by Platypus


Its a good idea to make sure that your equity curve reflects a single position size (every trade = 1000 shares or whatever)
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sorry I goofed there, the position size should be an equal dollar amount, not # of shares (unless your trading the same stock all the time)
 
Originally posted by Platypus


sorry I goofed there, the position size should be an equal dollar amount, not # of shares (unless your trading the same stock all the time)
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equal percentage of account equity better than equal dollar amount...

equal percentage of account equity w/ percentage adjusted up or down in line w/ total period return better still...

this thread will self destruct in five seconds...we should all be killed for treason, don't you know we're giving away too much....:D
 
Its like chasing your tail



Actually, my thoughts are that if you have a high frequency system that trades a lot, you can implement this approach better than if you are using a longer term strategy.

I have looked into how to do this with the longer term systems and one solution has been to 'consider' each day a 'trade'. That is, each day in a long term trade you have 'decided' to be either long/short or flat. Then, use statistics as per this thread:
http://www.elitetrader.com/vb/showt...3&perpage=6&highlight=reoptimize&pagenumber=1
to determine if you are statistically confident in your past returns.

My solution in testing has been to see if anytime in the last X days have I had a highly confident result. If I have, I keep trading, if not, I stop and wait for the next 'very high' confidence level to resume.
 
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