Hi Mark,
Would it be possible to add a new Column ‘Current Drawdown’ for Systems in the Grid, that would be of tremendous help, in analyzing the systems,
Another input would be to add ‘Last 180 Days’ and ‘Last 360 Days’ in the Grid too,
Keep up the good work,
I think that’s a great idea!
Of course, Matthew will probably say that the system actually did have that bad max drawdown four years ago, which is true.
However, there are numerous, relatively new trading systems that didn’t go through the extremely volatile trading environment of 2008-2009.
Therefore, when one compares these new trading systems with older, more established systems, the new ones may look much better because their historical max drawdowns could be significantly lower using the exact same trading strategy.
By including the “current max drawdown” stat, all systems would be more comparable.
It would also be a good idea to include “current max drawdown” right on the system page, as well as on the grid.
[LINKSYSTEM_81055844]
That’s a v good point. Something like max drawdown relative to volatility would be a more useful comparison when looking at systems traded in different conditions. [LINKSYSTEM_71784468]
Why not just use the calmar ratio over the last three years?
To expand a little further, use (return / max DD) over the last 3-6-12 months - a set of shorter term Calmar ratios. Compare that the the same metric for the S&P 500 over the same time frames.
well after a bit more inspection, this would appear to be a non issue anyway, as only 2 systems from 2007/8 still going that I would consider tradable. Regards[LINKSYSTEM_71784468]
