Quote from luckyputanski:
An interesting theory, but I find it difficult to believe. If a strategy was working 40 years on dozens of markets (and then checked for fun on different markets - working there as well) and had a new equity high not so long ago (just after I started this journal), I find it hard to believe that it stopped working exactly now. It is possible, but come on, what are the odds?
You might have fallen victim, like many have, to the illusion that backtesting something must mean that it will work the same way in a forward test. The past 40 years will not be like the next 40, or the next 400. There is a reason the government requires the disclaimer ",past performance is not indicative of future results" for anyone attempting to sell their BS. Think hard about that.
Basically anything on past data is curve fit... this creates a giant problem. Do you think curve fitting is reduced by using more data? Could it make your backtest even worse? The answer is, yes, possibly. The fact is you don't know. Anything is possible.
I don't know the details of your system, but personally, from the personal real money I've traded, using nothing but logical risk managment you should never have a 50% drawdown... My entries have not been near what a full time trader could do with unlimited capiltal, yet still I haven't experienced a 50% drawdown in 9 months (yes this is a short amount of time). I have traded (most likely over-leveraged) a very small account of 10k-24k.
Remember, a good trade will never go far against you and the only constant is change. I'd be intersted if the system shows 50%+ drawdowns. Is it price based? If you are a long term trader, why are you in and out of positions that show profit within days?