> try to find one for you if you find a broker that displays the Realism Factor.
The RF your broker shows you is your (actual) account balance vs.
the orders you placed.
> Most of my methods are unfarily penalized because they let profits run (no stops used), also evidenced by the highest P/L per unit figure among any systems at C2 but the combined equity curve paints a misleading and inaccurate picture of my methods…
Haven’t all your systems ended up with $200,000-$400,000 closed
losses (if they ever had that much equity to lose)? Aren’t the open DD’s
ultimately about the same as the closed DD’s you end up with? Show me a case where it wasn’t. Your “Mosaik” system has a closed DD of $450,000+
> also evidenced by the highest P/L per unit figure among any systems at C2…
You happily ignore that this calculation is totally bogus!
Mosaik (E. Agg.) Test
Cumu $ ($642)
after typical commission ($11,383)
P/L per unit $154.76
How can a + p/l be valid on a losing system?
Domenic,
I see your point. I do not have a final answer to that right now. Just a few thoughts:
1. The drawdowns are computed relative to the opening price in the trade details. So C2 will show 0 DD for system 2 in the trade details. If all trades are like this, the total DD as used in the APD will be 0, as you wish. (This doesn’t solve the problem for the open equity curve; I agree.)
2. I think that a rational subscriber will not only look to the DDs but also to the profits. System 2 would be better on that. (On the other hand, the Sharpe ratio could still be better for system 1, so this doesn’t solve the problem either).
3. The situation is usually more complicated than the examples that we discussed, in that different trades can be open at the same time and closed at different times. That makes it difficult to distinguish the various kinds of drawdowns. Your specific suggestion of using the closed equity curve as basis for the drawdowns has the disadvantage that it will also hide drawdowns of the kind were the value of a position falls below the opening price.
4. Your first (and last) suggestion was different from this, however, in that you want to compare the open and the closed equity. Perhaps it is not such a bad idea after all. I should think more about it. Am I correct that if the open equity falls below the closed equity, this would still count as a drawdown in your idea? For example, suppose there is one trade that is opened at day x and closed at day x + 5, and the open equity is like this:
open: 250, 200, 150, 800, 700, 300.
closed: 250, 250, 250, 250, 250, 300.
C2 would report a DD of 500. Am I correct that you would say that the DD is 100? Or would you say that the DD is 0 (like Pal says)? If you choose 100, then I admit that it sounds reasonable.
5. Even so, I think that it is pretty standard to compute the DDs on basis of open equity. It would be confusing to do that differently here. But I am no longer 100% opposed to reporting this kind of “baseline DD” in addition to the ordinary “open DD”.
PS. Eu, before you ask about my broker again: My brokers actually don’t use the word “drawdown” at all, and since an open DD of 100% would also create a baseline DD of 100%, I think their margin call policy can equivalently be formulated with baseline DDs.
I disagree. You don’t understand the concept of drawdown and I don’t have the time waste. I say the same thing Eu said:
Don’t show me your account (you can have it from your mommy & pappy) dear bastard Sam, just show me your trades. It’s very simple and I’ll say you who you are, my best, greatest futures trader(after Jon) Sam.
> I disagree.
Of course you do. Otherwise, when I snapped my fingers
you would wake up.
>You don’t understand the concept of drawdown
Not much to understand. You had peak equity near $450K,
and you had open and closed equity under $100K. That’s
a $350K DD.
> and I don’t have the time waste.
Sorry to cloud the issue with facts. Don’t waste your time with
facts, they will make your head hurt.
Don’t show me your account (you can have it from your mommy & pappy) dear bastard, son of a bitch Sam, just show me your trades. It’s very simple and I’ll say you who you are, my best, greatest futures trader(after Jon) Sam.
> Don’t show me your account (you can have it from your mommy & pappy) dear bastard, son of a bitch Sam…
Imagine whatever you want if it keeps you from dealing with your own reality.
Repeat after me: "I did not have a $350K DD (it was only a “test” system all along)… I do have a positive P/L…I am not FOS…9 out of 11 of my systems do not have closed losses of 60% to 100%+ (they are all open
positions and they will come back, they will come back, they will come back!)."
Keep saying it and imagine yourself in your happy place.
Don’t show me your account (you can have it from your mommy & pappy) dear mean ol’bastard, son of a bitch Sam, just show me your trades. It’s very simple and I’ll say you who you are, my best, greatest futures trader(after Jon) Sam.
I guess it is now time to exclude Mr. Palsun Anand from C2, at least from posting due to inappropriate insults.
> dear mean ol’bastard, son of a bitch Sam, …
Ironic, the thread Pal pulled this from I didn’t agree with EU about
an alleged $400K DD (which, BTW, C2 has since corrected). Pal commented:
"Good observation, Sam. You followed the evidence wherever it lead you to, without fear or favor, regardless of any effects such action may have on the conciousness of others. You followed the evidence whether others agree with your conclusions or not…“
So, when I agree with Pal I am a brave champion. When I don’t I’m a
"dear mean ol’bastard, son of a bitch”.
Pal, please understand, this just makes me smile from ear to ear. As
always, I’m “following the evidence whether others agree with my conclusions or not…” I’m sorry if the evidence has a negative effect on your “conciousness”.
No. Although I usually disagree with Pal, if I read his posts at all, I think that his “insults” are not a good reason to ban him. His insults are usually no more than a repetition of what others said to him first, or of what others said to others (like in this case). One might even say that it is a good sign of his character that he is not good at insulting others. In this case Pal is just repeating what Eu said, so why should Pal be banned for it? Sam is clearly trying to get under his skin again and again. I agree with Sam on this, but then he should be prepared for a nasty reaction, isn’t it?
> I agree with Sam on this, but then he should be prepared for a nasty reaction, isn’t it?
But of course! Indeed I enjoy Pal’s attacks:
"Pal, please understand, this just makes me smile from ear to ear."
Please don’t ban Pal; when the market goes flat for a few hours he
provides me with so much entertainment.
> Sam is clearly trying to get under his skin again and again.
Not really. It’s just when Pal does stuff like touting his great P/L’s
on losing systems I can’t just let it slide. Then he comes back and
calls me a SOB for presenting the facts and off we go. Nonetheless,
for me anyway, it’s all good fun… I try not to mention Pal’s or Eu’s
mothers (God knows they have enough to deal with ;-)).
Moreover, please note: I never attack systems simply because they lose (or win recklessly), but rather it is when the vendor steps out and starts pounding his chest and his boasts aren’t in line with C2’s reality.
Please don’t ban Pal. He has a fascinating personality as he just keeps defending his positions while, as far as I know, everybody else either disagrees or doesn’t care.
He burns close to $2,000 annually in listing fees for his 11 systems.
I’m just curious to see for how long he can sustain this.
"Moreover, please note: I never attack systems simply because they lose (or win recklessly), but rather it is when the vendor steps out and starts pounding his chest and his boasts aren’t in line with C2’s reality."
Precisely!!!
Perhaps, but it must be clear to us that the poor man is not able to deal with reality as we know it. Or perhaps I misunderstood the meaning of "getting under his skin".
OK. I’ll step in and end this particular thread because it’s getting a bit long. - MK
> Or perhaps I misunderstood the meaning of “getting under his skin”.
I don’t know. The catalyst for me isn’t to provoke him, but to correct him
or perhaps point out hypocrisy. Of course when I do this he attacks my poor old loving mother, and…
I.e. he says “this C2 indicator is wrong because it doesn’t favor my system (DD), but this one is good (or at least it’s calculations should be ignored even if they are wrong (P/L per unit)) because it does favor my system.”
