> Your example with the two strategies A and B is not exactly what I meant. > I talk about the cumulated drawdown of A *and* B at any given time. > Suppose you run 5 strategies concurrently and suddenly all 5 go short at > more or less the same time, and all lose money. Even when all strategies > have a drawdown of less that 500 over a certain period of time, the > cumulated drawdown could theoretically rise over 2000. > > Right, I was really addressing a different point. With regards to the Max DD while running all the strategies, I have not analyzed it.
-- 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.
