drawdowns

    Posted by cwa82675 on 10th of Jun 2011 at 01:20 pm

    I just wanted to post the factual information on drawdowns for these systems. Matt posted these statistics under the swing system pages, but it seems like they are worth mentioning today. The biggest drawdown the single entry system experienced was 10% and in the multientry system it was 4%.  So what is a drawdown, its a period of time where your account decreases in value but the system has not taken the loss and is instead waiting for a countertrend push to close out the position. Drawdowns are different than losses because losses are you closing the position where a drawdown is a period of time where you are underwater but you know the rik/reward is to continue holding the position.  With all that said, where do we stand today, the single entry is currently 2.02% underwater(drawdown), while the multi-entry is currently 1.38% underwater.  If todays price action is causing you pain, just imagine what 10% drawdown for the single entry or 4% for the multi would cause and then adjust your position sizes accordingly on the next trade.

    drawdowns

    Posted by Michael on 10th of Jun 2011 at 03:20 pm

    the max drawdown for the multi entry system is not 4%, it is larger.  Because Tradestation is treating each entry as a trade.  So the max drawdown for one entry of the multi entry system was 4%.  This was posted on the blog a little while ago by bkout3.  The max drawdown for the multi entry was around 7%.

    drawdowns

    Posted by jaycrockett on 10th of Jun 2011 at 03:32 pm

    cwa, Great point. Check out my

    Posted by cw12 on 10th of Jun 2011 at 01:38 pm

    cwa,

    Great point. Check out my post from last night. I put some dollar amounts as an illustration for the max drawdown thus far. For the single-entry system, a $100,000 position would be down about -$10,114(different from the backtest number. Must be because of all the decimals). For the multi-entry, a $100,000 position would be down approximately -$7,652.35.

    cwa, great post. 

    Posted by hamvestor on 10th of Jun 2011 at 01:27 pm

    cwa, great post. 

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