It would be very helpful for me to know what the max drawdown was (if any) on each closed trade. Meaning if a trade was down $1000 at its worst point then even if it closed out for a profit it would be good to know how “bad” the system owner let it go before it reversed.
This would help potential subscribers understand the risk profile of the system, something you can’t easily gather just by looking at closed trades.
This information could be included in the position details.
AMEN!!! This would be a very useful piece of information to get at easily.
Matthew, do you have any feedback about the possibility of this feature being added?
This is where daytrading systems is at an advantage over longer term systems with the equity graphs on C2. The graphs on C2 only show open trade equity which is not an accurate reflection.
For example, a long term system might be up $5000 and eventually stop out for $4000. According to the equity graphs on C2, this will look like the system lost $1000, when the account is up $4000. Displaying closed trade equity graphs would show this clearly.
MK insists that this is how real trading is, but he ignore the fact that by updating charts at the end of the day, all daytrading systems equity graphs is based on closed trades and for daytrading systems, the intra trade drawdowns are not displayed. So longer term systems equity graphs is based mostly on open trade equity and and day trade systems are based on closed trade equity. This is very unfair and make comparisons very difficult for potential subscribers.
My suggestion would be to display two equity curves for each system as follows:
For non day trading systems, display one graph as currently based on account balance. The second graph should be based on closed trade values.
For daytrading systems, the closed trade equity graph would be the daily updated graphs as currently. The second graph should have intraday intervals, for example 30 or 60 minutes, to clearly display drawdowns for daytrade systems. Something like this has been requested repeatedly.
Chris
Average Risk:Reward per trade that is based on intraday DD is more statistically correct. In the case you can calculate expected DD per trade. e.g. if R:R for a system is 3:1 and the system open a position for 10K you can expect that the trade might have DD for 30K to make 10K.
Anyway, if C2 will have DD info for every trade it’ll be helpful as well, but you have to calculate R:R yourself.
(I also requested this feature couple weeks ago)
Eu
The risk of a trade is defined as the dollar amount that the trade would lose per contract if it were a loss. Commonly, the trade risk is taken as the size of the money management stop applied, if any, to each trade.
If your system doesnt use protective (money management) stops, the risk can be taken as the largest historical loss over a period of 30 recent trades in a walk-forward test or the largest historical loss over the entire period in a back-test. This is a modification of the approach Vince adopted in his book “Portfolio Management Formulas,” John Wiley & Sons, New York, 1990. http://www.adaptrade.com/Articles/article-ffps.htm
The “pride” of a system which is the “sum of all virtues” is evaluated by the closed (actual or realized) trade drawdown. The lower a systems closed trade drawdown, the higher the pride of the system.
Just as a system has to produce the values to sustain its existence, a system has to acquire the values that enable it to sustain it and that makes its life worth sustaining… It has to … survive by shaping the world and itself in the image of its values.
The virtue of productiveness is concerned with the former of these requirements; the virtue of pride is concerned with the latter.
The rewards of the virtue of pride are all the values that a proper moral system makes possible. In particular, pride leads to the third of the “supreme values”: self-esteem, the other two being reason and purpose.
Unbreached rationality produces self-confidence in a system; since its policy is to recognize reality, it has a sense of efficacy, a conviction of its power to deal with reality and achieve its goals. In addition, the moral values it creates is admirable; so the proud system has a sense of its own worth. This sense includes the feeling that it has a right to be the beneficary of its actions, that it is entitled to the attention which self-sustenance demands, that it has earned the position of being its own highest value.
Self-esteem gives a system the strength required to persevere in its course. It gives the courage to be virtuous no matter what the obstacles in its path: to rely on its judgment, to fight for its goals, to pursue its objective.
In our culture, every moral requirement of intelligence is relentlessly attacked. Rationality is castigated as heartless, intellectuality as arid, egoism as exploitative, independence as antisocial, integrity as rigid, honesty as impractical, justice (reliability) as cruel, productiveness as materialistic. The sum of this approach - the crown of the creed of this evil - is the tenent that pride itself is evil.
If people believe that their system should not aspire to be perfect, that self-esteem of a system is a delusion and virtue consists in recognizing how vicious it is, then true virtue is impossible for a system, and the trap is closed. The better systems give up the exacting ambition to be good, and the rest give up any hope of reform. The result is the mass manufacture of despair. The despair takes the form of self-abasement and centuries-long rule of immorality. Only a corrupt theory of morality can produce such rule.
Huh?
"The risk of a trade is defined as the dollar amount that the trade would lose per contract if it were a loss. Commonly, the trade risk is taken as the size of the money management stop applied, if any, to each trade."
There is a common misconception that a protective stop will get you out of your position at (or close to) the stop price. If the market is moving very fast against you or the security is not that liquid then there will be a lot of slippage. If the market has a limit move then guess what? The stop won’t get you out at all. If you have a 9-11 like situation where the markets close for days then you have a real problem on your hands, especially with the leverage applied by some of these trading systems.
"If your system doesnt use protective (money management) stops, the risk can be taken as the largest historical loss over a period of 30 recent trades in a walk-forward test or the largest historical loss over the entire period in a back-test."
I don’t see what walk forward testing has to do with it. There have been several systems at C2 with great equity curves for several months then one day end up with large drawdown.
I would also argue that largest historical loss has to be considered whether or not stops are used.
Paul, I believe MK requested no esoteric topics. This ‘self-esteem’ and ‘pride’ stuff is interesting but not for this platform imo.
Brian
If a system is unworthy, its obligation is not to mope around castigating itself, but to correct its unworthiness. On the other hand, if a system is not unworthy, it is a monstrous injustice to try to convince it otherwise.
Either way, humility which is the advocacy of a code of behavior, along with the demand not to practice it fully, is not a virtue, because such an approach throws out principles and condemns any system that respects them. But it offers the perfect loop-hole for any would-be bad system, the escape clause for any unscrupulous system creator, the license to any whim-worshiper and the license is “If a system tries to be too good, that makes it bad.”
Oh my…sounds like church…
Without a proper epistemology, men do not use their minds properly, and their conclusions are correspondingly worthless.
Irrationalism leads the intellectuals to discard the possibility of the reality orientation in favor of altruism, which leads them to conclude that capitalism is evil.
Man needs a philosophy to enable him to reach an integrated understanding of facts and a rational standard of evaluation.
Without a proper philosophy, therefore, facts galore can be available, but men will not be able to grasp, connect, estimate, or learn from them. I am speaking here not only of corrupt intellectuals, but also of plain, decent men.
Pal
None of your posts contributed anything to the topic, which was Trade Drawdown Suggestion. If you have nothing to offer on a topic, can I kindly request that you don’t post at all? You are just cluttering a good thread with philosophical garbage.
This is a general tendancy of you to clutter good threads with your garbage. I am sure there are other websites with forums frequented by like minded individuals as yourself where your garbage will be welcomed. This website isn’t one of them.
Chris
I don’t agree with you; you certainly don’t seem to understand what I write; anyway it is none of your business. You are free to read them or discard them as you like. What I write is meant for real traders/investors. This will be the last post of mine on this topic.
Your last post on this topic? LOL. You never WERE on the topic. You never ARE. You just post random junk to any thread.
BTW, looking at your systems equity curves, you don’t appear to be a real trader yourself. So I guess you don’t understand your own posts. That explain why you never can stay on topic, because you have no clue what other people talk about.
I understood enough of your post to know that you did not address the topic about drawdown at all. A quick look at your systems explain why; you don’t understand the concept of drawdown
Maybe you manage to convince your friends and family who don’t trade and invest themselves, that you are a real trader by confusing them with your random babbling. Unfortunately here you are between people with more experience than you and it become clear, no matter how desperately you want to be seen and recognized as a real trader, you still are just another wannabe.
Max drawn down on intraday or daily , to me it seems very difficult either way to judge whether a stop loss will provide a clear picture of intraday drawn down or a system of free stop loss will provide a clowdy picture of risk. Since we all know that the market is really unpredictable at any one point on the graph , it would be wise to said the any system whether it has a stop loss or not should have the same risk since a stop loss is only a temporary money management . Because your next entry could very well be another stop loss. In that case , to said that a system without a stop loss or the current c2 does not report intraday max drawn down would not provide subscriber with clear picture of a system. I believe that 's not the case at all , once you enter a trade to make a profit the market would have to move in your favor position for you to make a profit, however, if the trade that you enter is in a drag or a drawn down to far away from your entry position then chances are the trade is a total loss if not the following day it would be reported as a negative on the chart. Therefore, if we talk about hypothetical situation where the trade would have to go down 10k before comming back as a profit on an intraday of 1 contract of let said eminies then that entry must be imaginary since it would be very unlikely for a trade to drag that much and come back from intra-day period and make a profitable trade. However it is possible for a trader to go down 10k on 1 contract and pump a large number of contracts from the bottom to come back from intraday to make a profit. Therefore , max intraday reporting is not needed since the market will tell you the following day. Also max drawn down has little meaning since your next 10 trades of stop loss could easily equal or exceed one bad drawn down. However, we generally tend to stare at low system drawn down because it gives us hope that future trades would behave the same way and chances are future drawn down would be around that number, but to assume that the future drawn down would be the same as pass drawn down is totally wrong. It is reasonable to said that I would like to see a minimum drawn down on a system but I cannot assume that the future of the dragging system will behave like that pass.Therefore to study intraday drag is not needed , since the overnight reporting will bring it out on the chart if the drag is too large to come back and the system either will have to stop loss or continue trading with different instruments to compensate for the drag. Therefore , all we need to know is how much the open trade dragging on daily basis. Then , we will be able to evaluate the system accordingly.
Hey man, you don’t have the brains to understand what Pal is posting, but instead commenting as if you are an arrogant know-it all who has mastered trading himself. You sure are a funny guy.
You missed the whole point. To show daily drawdown, does not show drawdown for intraday trades. A system can trade 50 contracts of a certain market and only a few points in the wrong direction will result in big drawdown. If the market come back and the trade get closed out as a profit in the same day, the intraday drawdown will never be displayed on a daily equity chart.
The request was to display intraday drawdowns for intraday systems. Not to judge if a stop loss will provide a clear picture.
I completely disagree that a system with a stop loss have the same risk than one without. If a system have a stop loss of 10% and the trading instrument gap down 20% and continue lower indefinitely, then the system with the stoploss will lose 20%. The system with no stop loss have no limited risk and could go to 0.
But each have their own opinions. I am glad at least I know now that it appear you don’t believe in stop losses, so I know now not to bother looking at your system because I will never subscribe to a system who doesn’t use stop losses.
Chris
You must be one of the real traders/investors Pal talk about who understand his posts and understand how what he posted suit a thread about drawdown. How about writing a review in his systems information pages, letting us know how much money you made by subscribing to his systems?
How about you create a system for us and show us how to trade or do you just pretend that you have mastered trading?
