I think I agree with Eugene on this one. A singular event in Strategy B may never repeat. A mutlitude of $500 drawdawns in strategy A suggests that this type of event is likely to re-occur.
From: Judson Wilson <[email protected]> To: [email protected] Sent: Sunday, June 19, 2011 6:58 PM Subject: Re: [JBookTrader] Re: Sterling Ratio performance metric 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. -- 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.
