Looking back at the system trades, it looks like during a
similarly volatile period last summer, the system was short at all
the right times and did very well.
Why is the system faltering so badly here?? Why wasn't the
system short on this trade? The largest historical loss was
3.3% and that was an 'outlier' according to the Swing system
page. This is getting REALLY painful; just looking for some
understading here...
I disagree with your premise. The *drawdown* that we're
suffering is not outside the range of the system's historical
performance. We haven't exited the trade yet so you
can't compare our current drawdown to past losing trades.
Apples and oranges.
If it's getting really painful for you than you're probably
over-leveraged. Try scaling back in future trades. Take
some time to picture drawing down 15% on the next trade, in real
$s, before you place the trade. If your palms start to sweat
than it's probably too much.
Just a reminder: the system doesn't have "historical
performance." Backtested results are a fiction. That
doesn't mean that the fiction can't match reality, and in this case
I hope that it does, but it's not the same as reality. The
only "historical performance" that we have is since the system went
live in April.
Posted by sschulman on 4th of Aug 2011 at 08:17 pm
That's sort of what I was asking in my awkward way - except I
don't think it's faltering at all. But we don't know how the
system decides when the opening trades will be long or short.
However, a loss is different than a drawdown - we haven't had a
loss with this trade yet because we haven't closed it. It may end
up not being a loser at all.
Susan
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SPY system performance
Posted by mfogli1 on 4th of Aug 2011 at 06:26 pm
Looking back at the system trades, it looks like during a similarly volatile period last summer, the system was short at all the right times and did very well.
Why is the system faltering so badly here?? Why wasn't the system short on this trade? The largest historical loss was 3.3% and that was an 'outlier' according to the Swing system page. This is getting REALLY painful; just looking for some understading here...
I disagree with your premise.
Posted by ascr on 5th of Aug 2011 at 09:14 am
I disagree with your premise. The *drawdown* that we're suffering is not outside the range of the system's historical performance. We haven't exited the trade yet so you can't compare our current drawdown to past losing trades. Apples and oranges.
If it's getting really painful for you than you're probably over-leveraged. Try scaling back in future trades. Take some time to picture drawing down 15% on the next trade, in real $s, before you place the trade. If your palms start to sweat than it's probably too much.
Just a reminder: the system
Posted by algyros on 5th of Aug 2011 at 09:24 am
Just a reminder: the system doesn't have "historical performance." Backtested results are a fiction. That doesn't mean that the fiction can't match reality, and in this case I hope that it does, but it's not the same as reality. The only "historical performance" that we have is since the system went live in April.
Opening trades long or short. Loss vs drawdown.
Posted by sschulman on 4th of Aug 2011 at 08:17 pm
That's sort of what I was asking in my awkward way - except I don't think it's faltering at all. But we don't know how the system decides when the opening trades will be long or short.
However, a loss is different than a drawdown - we haven't had a loss with this trade yet because we haven't closed it. It may end up not being a loser at all.
Susan