Mark H, Interesting and fun thread, with unexpected twists and turns.
<Absolutely. Average 126% for the last three years.> CAR or RAR? <Backtest helps a lot to pull the trigger when you are down 40%.> Trade Drawdown or System Drawdown? <Just small bets and small wins/losses, and a lot of them.> Small bets... OK. Small wins/losses... yeah most of the time, but with probable occasional bigtime homeruns and putholes. <Yes. It is some trend indicators based on major market indexes. Use Foreign functions.> Yeah, I've got a system that sounds similar to yours... strong stocks that pullback, then trade the pullback. Depending upon which measurements you discussed, I think my system might be very similar, (but mine is an EOD system, not real-time). If I ignore trading volume, I can get unbelievable results with only 16% System drawdowns, but when I add the trading volume filter to insure that my backtested trades won't skew the market in the individual stocks, my CAR drops precipitiously (to 18.5%) while my RAR is at about 135%... and my System Drawdown increases to about 40%. Thru sheer instinct, I've traded my system off and on (ie. infrequently), with OK results (not the reported backtest CAR). I've used major indexes in Foreign measurements to try to moderate the 40% system drawdown, without success. Any attempt at using foreign measurements always results in belated reporting (after the trade losses had already occurred). If you can shed more light on your use of Foreign measurements, great, but after my backtesting I cannot see any way to use them to moderate the system drawdowns since my measurements are in a 'look back' mode... but then again, maybe you are speaking of 40% system drawdowns 'AFTER' the foreign functions have kicked in. Anyway, keep up the posts. Rgds. ------------------------ Yahoo! Groups Sponsor --------------------~--> See what's inside the new Yahoo! Groups email. http://us.click.yahoo.com/PEOZVC/bOaOAA/cosFAA/GHeqlB/TM --------------------------------------------------------------------~-> Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For other support material please check also: http://www.amibroker.com/support.html Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
