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Mike Gossland on 11/08/05 02:56, wrote:
At 07:03 PM 8/10/2005, Adam Hardy wrote:
Does anyone using TS4 or who can cast their mind back sufficiently
know whether there's a bug in the System results analysis on max
intraday drawdown figures?
For a system I'm working on for the Euro/USD futures, I get this
max intraday drawdown:
Whole system: 12,000 Long: 10,000 Short: 15,000
which doesn't make sense as the whole should surely be the greater
of the long or the short?
Also suspicious is the fact that the maximum closed out loss is
only 2000, and the move represented by 12,000 dollars drawdown is
0.1000, in a future where the average true range is 0.0100 - and my
stops would have kicked me out on such a day - which never happens.
It is quite possible that the drawdown of the combined longs and
shorts is less than the drawdown of the shorts. It shows that the
losing streak of your shorts was interrupted and mitigated by some
winning longs in between. Nothing too weird there.
Also there is no reason why the max intraday drawdown cannot be a lot
greater than your single trade loss. Max intraday drawdown is not the
drawdown of an individual trade - it includes closed trade drawdown
PLUS the max open drawdown of a single trade, at the worst point. You
could easily have a string of losers to get yourself a much worse
intraday drawdown than a single loss.
Doh! The term 'intraday' threw me off-track a little. I see why I was
talking rubbish - as you guys say, it's a string of losses together that
create drawdown.
I was just thinking, what's this intraday stuff? Thought it must be
something I could see on one single bar, that would really only be
useful for intraday traders!
I was looking at my equity curve and the system actually made 40K over
10 years with one contract and never went in the minus, so I guess I was
just being a bit of a numbskull.
Thanks for putting me right,
Adam
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