Posted by stefano59 on 5th of May 2011 at 02:15 pm
Hi Matt, you say that max dd. in single and multiple entries is
10% and 4%. Have you reckoned what the max dd. would be during the
intra trade period? Since this is a swing system without stop loss
protection, it would be important for me to know how deep a loss
could be DURING the trade and not after closing the trade. If you
have this data, let me know for both single and multiple entry.
To see what the largest drawdown for the single-entry system
was, go to the Single Entry Overview/Statistics tab, then scroll
down to Run-Up/Drawdown. It shows the largest drawdown is
$10,041.50. That's about 10% (of $100,000). It also
shows that this drawdown occurred on March 6, 2009. To see
this drawdown on Matt's screen capture, go to the Single Entry
Trade Examples tab and then find the long trade that was entered on
Feb 23, 2009. At the close on Feb 23, the system bought 1330
shares of SPY @ $74.65 = $99,284.50. On March 6, at
the low of the day ($67.10), those shares were worth
$89,243.00 (1330 @ $67.10). That's a drawdown of
$10,041.50 (99,284.50 - 89,243.00).
Of course, this is no guarantee that the system will not have a
larger drawdown in the future.
and regarding the Max Draw, what's funny about that 10% max
losing trade on the single entry system is that that ended up being
a huge winning trade of 25%. The system went long just before
the March 09 bottom, but since it went long a little early and
since the market was so volatile at that time, the system took some
heat for about a week.
Otherwise the the multi entry system max draw down was 4% on
that trade.
Posted by philosoraptor on 5th of May 2011 at 02:37 pm
I agree. Also Stefano, Matt mentioned the
other day in a post that anyone wanting to place a 'crash stop' for
their own peace of mind would need to place it at around the 15%
mark:
SPY MAX DRAW DOWN
Posted by stefano59 on 5th of May 2011 at 02:15 pm
Hi Matt, you say that max dd. in single and multiple entries is 10% and 4%. Have you reckoned what the max dd. would be during the intra trade period? Since this is a swing system without stop loss protection, it would be important for me to know how deep a loss could be DURING the trade and not after closing the trade. If you have this data, let me know for both single and multiple entry.
Thanks for the great job you are doing everyday.
Stefano
stefano59, To see what the largest
Posted by yojimbo on 5th of May 2011 at 02:43 pm
stefano59,
To see what the largest drawdown for the single-entry system was, go to the Single Entry Overview/Statistics tab, then scroll down to Run-Up/Drawdown. It shows the largest drawdown is $10,041.50. That's about 10% (of $100,000). It also shows that this drawdown occurred on March 6, 2009. To see this drawdown on Matt's screen capture, go to the Single Entry Trade Examples tab and then find the long trade that was entered on Feb 23, 2009. At the close on Feb 23, the system bought 1330 shares of SPY @ $74.65 = $99,284.50. On March 6, at the low of the day ($67.10), those shares were worth $89,243.00 (1330 @ $67.10). That's a drawdown of $10,041.50 (99,284.50 - 89,243.00).
Of course, this is no guarantee that the system will not have a larger drawdown in the future.
Stefano - I think 10%
Posted by sporopat on 5th of May 2011 at 02:22 pm
Stefano - I think 10% and 4% are the max dd during the intra trade period. 3.4% and 1.3%, respectively, are the max closing losses for each system.
and regarding the Max Draw,
Posted by matt on 5th of May 2011 at 02:38 pm
and regarding the Max Draw, what's funny about that 10% max losing trade on the single entry system is that that ended up being a huge winning trade of 25%. The system went long just before the March 09 bottom, but since it went long a little early and since the market was so volatile at that time, the system took some heat for about a week.
Otherwise the the multi entry system max draw down was 4% on that trade.
I agree. Also Stefano, Matt
Posted by philosoraptor on 5th of May 2011 at 02:37 pm
I agree. Also Stefano, Matt mentioned the other day in a post that anyone wanting to place a 'crash stop' for their own peace of mind would need to place it at around the 15% mark:
http://breakpointtrades.com/blog/post/155172/#155520