Historical Draw Downs to the system

    Posted by matt on 5th of Aug 2011 at 09:39 am

    Historical Draw Downs to the system and comparisons to this trade

    Here's the 4 max draw downs to the system: 

    -10.04%

    -8.7%

    -7.8%

    -7.7% (current Trade)

    Right now the current trade is the 4th highest draw down.  Not that it makes it feel any better or hurt less, but this current trade is still only the highest drawdown. 

    Every one of the draw downs have been winning trades in the end, that doesn't mean this one will be.  I'm just pointing out stats.  I will look at it more in the weekend and may do a newsletter specifically for the SPY system

     

    there is no remedy for over leverage

    Posted by turps on 9th of Aug 2011 at 10:31 pm

    Come on everyone, the facts are:

    This is an un-tried system,

    It is a mechanical system 

    if you are blown up now you over levered.

    read the disclaimer and TAKE NOTICE OF IT.

    yes I am backwards in this trade 

    No I do not expect it to be profitable in the end of this trade.

    Yes I expect to be profitable in the long run.

     

    The long run is what matters.

     

     

    A thought on SPY Swing System Stops

    Posted by traderdavek on 9th of Aug 2011 at 10:00 am

    What has worked for me is to hedge a position (long SPY with 3x inverse SPXU) when I see the trade going against me.  I'll remove the hedge if and when the trade comes back.  Unfortunately, I did not do this soon enough in the current min-crash.

    Doing something similar with the

    Posted by Vida on 9th of Aug 2011 at 12:25 pm

    Doing something similar with the same instrument but day trading on 5 minute charts which is the only way one could get positioned once the freefall started. It is the only thing that has allowed me to hold on to my position and compensate somewhat for the drawdown. This has been a real learning experience on getting a grip on emotions. It has been stressful, I've had to trade furiously around the position. You have to be pretty disciplined with taking profits on a hedge as you don't want the trade to go against you and turn into more losses, but then you have to hedge again as major support areas get taken out. The only complaint I have is that I am supposed to be on a holiday!

    Vida, yes I've been doing

    Posted by bkout3 on 9th of Aug 2011 at 12:39 pm

    Vida, yes I've been doing the same -- hedge trading around the position and it's been intense although worth doing. It's weird having the long position just sitting there staring at me with it's red numbers and I "can't" do anything with it but I have to keep trailing out on the shorts to not give back too much since I don't know when we're going to bottom, then I have to get the shorts on again if we head down again -- nothing like the noose to focus the mind! BTW thx to tumbler for helping me think about options -- I'm doing the Multi and went with calls instead of cash after the first signal -- has helped some in terms of $$$ loss numbers.

    Your comment "nothing like the

    Posted by Vida on 9th of Aug 2011 at 01:07 pm

    Your comment "nothing like the noose to focus the mind" is spot on! I've also had to trade much larger positions than I normally do. I've actually done well but of course still red due to the spy system position. But in a way, thanks to the system I've been much more decisive and nimble.

    All my other long positions were stopped out in a timely manner and normally I'd be watching things with popcorn. I am also doing the multi and we may still get out of this OK, but it's been a real lesson on mental fortitude. When the system gives an exit it will be a relief. I am afraid of a small bounce and then further fall to new lows before a larger rally...

    Why did the system not go short

    Posted by breck123 on 9th of Aug 2011 at 02:55 am

    Too bad we missed the down does not the system make a shift when necessary to capture,any gains, will we at least break even on the multi after such a drop in the market Breck

    Will system have any chance of breaking even

    Posted by breck123 on 9th of Aug 2011 at 02:32 am

    With the big drop on the multi is there hope of even a break even with a bounce Breck

    if this trade wasn't on, when would the next signal be?

    Posted by dtheo on 9th of Aug 2011 at 12:19 am

    Matt,

    If this trade wasn't taken, would the system go long into this crash? at what price level(s)?

    thanks,

    DT

    it seems impossible that the

    Posted by chlo888 on 8th of Aug 2011 at 12:29 pm

    it seems impossible that the system is going to be able to make money it's single entry approach trade at this point...and waiting for a bounce could be deadly as the bounce could come from much lower levels..

    What's your point?

    Posted by burkmere on 8th of Aug 2011 at 12:32 pm

    I think their point is....

    Posted by marketguy on 8th of Aug 2011 at 01:13 pm
    Title: the single entry is down about 15 straight pts and waiting for the bounce (with seemingly no end in sight) isnt easy and god only knows when itll come is all....

    Yes...it's down 11.2%

    Posted by burkmere on 8th of Aug 2011 at 01:36 pm

    from the single entry buy.  I think people who are following this system have to give it 15-20 trades to see how it's going to do. We've had close to this much of a drawdown before, and the trade worked out. It may not this time. I think after 15-20 trades you will have to compare this system with the  market and see how it does.

    I think the folks here who are expressing the most emotion are probably over-leveraged in this trade. I don't think you can judge a system by five trades or so.

     

    I agree about not being

    Posted by algyros on 8th of Aug 2011 at 01:46 pm

    I agree about not being able to judge a system by so few trades.  However, I think that the system's performance so far is beginning to make it clear to people that backtested results aren't the same as historical results.  They may turn out to be, but the only way to know that is to see how the system behaves in real time.

    Yeah, said that a while

    Posted by john9o9 on 9th of Aug 2011 at 09:20 am

    Yeah, said that a while ago, nothing like live trading.  I really like to see live trading for a significant length of time before putting significant capital into it.  ESPECIALLY mean reversion systems!  JMHO FWIW

    agree

    Posted by tsurplus on 9th of Aug 2011 at 09:41 am

    yeah, hope/pray for a good bounce to turn this big loss into small one.

    then reduce my allocation for it until it "behaves" over time...

    My sense is that mean

    Posted by john9o9 on 9th of Aug 2011 at 12:21 pm

    My sense is that mean reversion system are harder to develop without curve fitting.  Just the nature of the beast. 

    Yep...

    Posted by burkmere on 8th of Aug 2011 at 01:48 pm

    low point down draw

    Posted by fishbait on 6th of Aug 2011 at 11:53 am

    If you look at the ATR 20 for the max low point down draws of the past. You will find that the current trade is  worst than those of the past. A good formula to keep things in perspective is:    low point down draw/ATR 20

    Therefore :2/29/09 = 10%/3.05= 3.27        7/28/11=10%/2.27= 4.40

    low point draw down

    Posted by philosoraptor on 6th of Aug 2011 at 01:10 pm
    Title: click to expand

    Not only were those trades winners....

    Posted by kalinm on 5th of Aug 2011 at 07:18 pm

    But in two of the cases, after selling the long position, it shorted the next day and made huge gains (7% and 8%) in the heart of the fall '08 crash.  If we get anything like that, I suspect we soon see a pretty big short squeeze, furious rally and as somebody else mentioned here, the system goes short and takes us on a big ride downtown.

    Tough to guess what might bailout the financial sector though.  Actually not tough to guess.  My guess: Geithner and Bernanke.  But how?

    "I'll buy that for a

    Posted by marketguy on 5th of Aug 2011 at 10:15 pm

    "I'll buy that for a dollar" (old move line :-)

    honestly though, the way things are going is we'll cover at a big loss and then we'll rocket up, the system will short and "then" uncle Ben will wake up from his hibernation and crush us again....mentioned it many times on this blog....Murphy's Law....Murphy's Law....

    What does it matter?

    Posted by Robert50 on 5th of Aug 2011 at 03:22 pm

    It's a system.  You play all of it or none it.  I remember last fall I got "shaken out" and sold, only to see the market up substantially a month later.  Not saying that here, but the odds are in favor over the long term from every spreadsheet I saw.  We are all here with you...win or lose.

    Matt, Your spreadsheet shows worst ever

    Posted by dougmil on 5th of Aug 2011 at 12:50 pm

    Matt,

    Your spreadsheet shows worst ever drawdown -10.0% ended up a 19.7% winner. 2nd worst 8.7% drawdown ended up 7.1% winner. 3rd worst was 7.8% drawdown but final profit was cut off from your screen capture. What was it?

    Thnnks,

    Doug Milliken

    Doug, if you look to

    Posted by philosoraptor on 5th of Aug 2011 at 12:56 pm

    Doug, if you look to the left of the spreadsheet you can see the Dollar amount profit of $15,400, so it must be a 15.4% win - I think?

    It was 15.44% and just

    Posted by tom on 5th of Aug 2011 at 01:00 pm

    It was 15.44% and just an FYI you could have also looked at the date of 10/14/08 and went to the spreadsheet in the SPY Section and just looked for the trade that closed on that day.

    Downgrade on debt with a

    Posted by john9o9 on 5th of Aug 2011 at 10:36 pm

    Downgrade on debt with a full position on the SPY system..........

    Historical Draw Downs

    Posted by jaycrockett on 5th of Aug 2011 at 11:04 am

    Excellent!  Even if this trade is the exception and does result in a loss, I have no doubt that by sticking to your system, it will be made up as further trades occur.  The system makes it so much easier to buy into weakness which is never as easy as it sounds.  

    Matt- These stats are for the

    Posted by chlo888 on 5th of Aug 2011 at 10:56 am

    Matt-

    These stats are for the single entry system correct?

    Yes for single entry, easier

    Posted by matt on 5th of Aug 2011 at 12:37 pm

    Yes for single entry, easier to show that way.

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