Minimum drawdawn is preferred to max drawdawn. Strategy A is better in my opinion as it proves it can recover from drawdowns repeatedly On Jun 20, 2011 9:10 AM, "nonlinear" <[email protected]> wrote: > There is another, more subtle problem with the max DD measure, which is that > by reshuffling the same trades of the same strategy you would get > drastically different max DD figures. It's as though the same strategy > suddenly changes from "good" to "bad" by simply rearranging the trades in > time. In reality, it's still exactly the same strategy, with exactly the > same risk/reward profile. > > If this doesn't click in, think about this experiment. You have two coins, A > and B, and you suspect that one of them is a fair coin, while the other one > is a loaded one. So, you flip each one 1 million times. The results are: > 500,000 heads and 500,000 tails for each coin. However coin A had a a > maximum streak of 10 heads in a row, while coin B had a maximum of 5 heads
> in a row. Based on the Sterling Ratio adapted for coins, coin B would be > determined to be 2 times more "fair" than coin A, when in reality, both > coins are perfectly and equally fair. On the other hand, if you use the PI > measure, it would be identical for coins A and B. > > > -- > 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/-/svCLzimFb1gJ. > 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.
