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Jan,
> I'm talking about the largest drawdown in that system's history which
> cannot be exceeded without suffering non-affordable loss.
I don't think historical drawdowns count for much except as a historical
statistic. I figure the worst drawdown is somewhere in the future not the
past. I think that you look at drawdown the way you look at a stop - how
much am I willing to lose before I bail. What you do then is an interesting
question. My inclination would be to trade an equity curve although not a
balanced one. If my drop dead point was 30%, I don't think I'd require the
system to prove itself by coming back all the way. I wouldn't want to leave
all those profits on the table. I'm not sure where I'd resume trading -
perhaps when the system resumed its previous pattern. I think that I'd
probably start tinkering with the system to see what would happen but that
would be dangerous ground.
Regards,
Mike
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