Hi I'm interested in any comments regarding the use of % system drawdown as a filter. By this I mean, only buy when % System drawdown is less than, say -5%.
I have applied this to 2 trend following systems (Linear Regression and MA)and in both cases, although CAR was slightly reduced, most other measures of system performance were much improved. These included RAR, exposure, CAR/MDD and of course Max % System Drawdown. The way I implement this filter is to run the system as normal and save a plot of % system drawdown, renamed to Sysdd. I then add code to the original system so that no new positions are opened if Sysdd is below -5%. Am I missing something here (it wouldn't be the first time!)? All comments are appreciated Regards Haders
