>
> Do you have an idea of the maximum draw down of your system while trading
> all strategies simultaneously? From a risk management perspective, this
> would be the figure to look at. Of course I could sum up all individual
> draw downs but the actual maximum draw down is probably much less.
>
>
I don't pay much attention to the Max DD metric. I think the entire measure
is misleading. For example, consider two strategies, A and B, and here are
the respective trades:
A: {+200, -100, +200, -100, +200, -100, +200}
B: {+200, -100, -100, -100, +200, +200, +200}
Notice that the distribution of trades is exactly the same, and so are the
profit factors, expectancy, net profit, standard deviation, and Kelly. The
only thing that is different is Max DD, which is $100 for strategy A, and
$300 for strategy B. Does that make strategy A better than strategy B? No,
they are the same strategy where the sequence of trades is shuffled.
In my optimization runs, I rely almost exclusively on the PI, and the CPI
(which is a new performance measure, to be introduced in the next JBT
release).
--
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.
