Really? I would say A looks better on both total drawdown and average magnitude of drawdown.
On Sun, Jun 19, 2011 at 4:44 PM, nonlinear <[email protected]> wrote: > I think that maximum drawdown is a very poor measure of risk. Consider two > strategies, A and B. Both have the same net profit. Strategy A had 100 > drawdowns, and the maximum drawdown was $500. Strategy B had only 1 > drawdown, which was $600. If you only look at the maximum drawdown, you > would then conclude that strategy A is better, when in fact, strategy B is > far superior to strategy A. > > -- > You received this message because you are subscribed to the Google Groups > "JBookTrader" group. > To view this discussion on the web visit > https://groups.google.com/d/msg/jbooktrader/-/f64OgovrcgQJ. > To post to this group, send email to [email protected]. > To unsubscribe from this group, send email to > [email protected]. > For more options, visit this group at > http://groups.google.com/group/jbooktrader?hl=en. > -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
