I was recently SYM following a strategy that had showed only 2 very small losses. However, the max drawdown was shown as 39%. One morning, I woke to see a 3k loss, but no losses were recorded. I understand that manual losses and unrealized losses are not reflected in the statistics, but is there a way to identify developers who are simply hiding loses to boost their numbers?
Unrealized losses are reflected in the statistics through max drawdown. I believe that is one of the most important statistics to look at. Iād suggest a risk adjusted return approach to review strategies.
Annual Return / Max Drawdown
The higher the number above, the better risk adjusted return. If the strategy you were simulating had a annual return of 40%, I would argue that is not a great risk adjusted return.
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