25k Portfolio Redesigned

[AndresPadrones]

Hello.

I have decide to do some changes in my strategy 25k E-mini S&P500 Portfolio:

25K Emini SP Portfolio

25k Portfolio strategy has been redesigned improving 2 of the 5 trading systems employed and removing other one.

The objetive is to reduce drawdown and improve average profit for trade. The first metric, drawdown, is very important in long term to multiply profits employing antimartingale money management strategies.

Nowdays, portfolio is near to double initial capital and we are going to begin employ antimartingale money management rules to increase position size. Until now we have been employing an unique e-mini S&P 500 contract per system.

Here are the new portfolio design results:

Equity & Drawdown historical

Performance Sumary

Trade Analysis

Correlations

[DatDo]

So based on the backtest, do you expect the max drawdown to be around 13%?
Thanks

[AndresPadrones]

Hi DatDo.

No.

Based in historical backtest maximun drawdown was 4.938 USD (aprox 20% of initial capital of 25k).

For other side, Montecarlo maximun drawdown analysis is a better option to estimate max drawdown.
The distribution is this:

Distribution suggest:

• With probability 95% future máx drawdown will be less than 5.942 USD

• With probability 99% future máx drawdown will be less than 7.198 USD

I´d employ this values to estimate futures drawdowns with consevative point view.

Regards.