Hi Howard, When deciding on position size vs. Max. Sys % Drawdown is it advisable to use the minimum (minimum negative value) or the mean of Max. Sys % Drawdown? Does use of the control chart methodology you outline in the ATAA presentation alleviate the risk of a minimum Max. Sys % Drawdown scenario so that more aggressive position sizing can be taken based on mean rather than the minimum of Max. Sys % Drawdown ?
My system seems be able to recover even when minimum Max. Sys % DD = -33% which based on OOS results occurs with less than 1% probability but it still occurs. My average profit drops 75% if I constrain Position Size as % of equity to 2% in order to achieve minimum Max. Sys % DD = -18% . My objfn is RAR/MDD, I'm happy with my equity curve and have expectancy > 0 with 99% confidence but not sure how far I can push the position size. Thanks for your thoughts. Regards, Ray
