Welcome to my online repository of research and insights on automated trading system development
I was recently reading a blog post discussing “trading the equity curve” of a system. This usually entails adapting trading size based on whether the equity curve of the system is below or above its equity curve. A similar concept is described in The Way of the Turtle, by ex-Turtle Curtis Faith: The Turtles were […]
Entries Tagged as 'drawdown'
Your worst Drawdown is yet to come
May 27th, 2010 · 5 Comments · Money Management
in this world nothing can be said to be certain, except death and taxes. Arguing against Ben Franklin, I would say it is certain your (and my) Max Drawdown so far – whether in real trading or backtest – will be surpassed in the future. The maths even say that the probability of any drawdown […]
A trick to reduce Drawdowns
April 28th, 2010 · 17 Comments · Backtest, Strategies, Trend Following
Drawdowns represent the scary part of trading system statistics. The drawdown number emphasises the level of loss you might suffer while trading that system. It is risk to your trading capital. Now, for a quick disclaimer: I do not have a magic trick to simply reduce drawdowns… but with this cheeky title, I wanted to […]
