Here's a table I made showing the SPY reversion to mean trades with various stats and most importantly max draw down for each sub system. I'm not completely done with it yet and realize I will discuss this in the newsletter. However here's some info: I show all the Longs and Shorts, winning %, profit factor, # trades, avg drawown, max drawdown, max draw down date, and average time in trades, and also how the trade closed out.  However realize for the max draw down I'm focusing on the 1st entry: the systems that had max draw downs of say 10% etc, will have 3 entries, for simplicity I'm focused on the 1st entry only.  On a few of these notice that I added a column for 3rd entry close to to show, as an example the QE 3.2 system had a max draw down of about 10% on the 1st entry, which went on to close out at a 13.2% gain! The third entry for that would have made 26%.  The CCI sub system had a brutal 16% draw down on the first entry (that was in Oct 2008) but that trade came all the way back and closed out with a 1.3% gain, and the 3rd entry made 11.7%

The data on the right side of the table show the current open trades:  QE BTS and CCI have 2 entries and the Trend/Pullback has a 3rd entry.  If you notice the Trend/Pullback basically hit the max historical draw down, slightly exceeded it by 0.1% at the lows.  The QE BTS got close on this current trade with a -8.3% draw down at the lows vs the -9% historical, and the CCI was down the same but FAR from the max historical. 

So there you go: take the data for what it is, if you must place a stop and wanted to place it wider than the max historical for the trades, your stops for the QE BTS and CCI would be slightly below the lows. I'd give it at least 1 - 2% over though. 

For the the website I'm just going to let the trades go where they will and close them out when they decide to. However you have the data to act on.