a question about equity drawdown

Discussion in 'Strategy Building' started by robinxing, Jun 27, 2007.

  1. joesan

    joesan

    Depending on the triggering method, 3 points cost may not be enough in today's market. Have you been trading it with REAL money ?What was the realtime track record compared with tradestation backtest? If the realtime result is similar ( 500-600 points per month in the last Four months), it is very impressive . And if the backtest into further past data gave similar results, then I want to say "Stick to it", you just need some more courage
     
    #11     Jun 28, 2007
  2. in most cases there is not 2 points slippage

    occasionally the slippage is more than 2 points

    sometimes it can reach 10 points
     
    #12     Jun 28, 2007
  3. josean what do you think of the difference between tick chart and minute chart
     
    #13     Jun 28, 2007
  4. joesan

    joesan

    In the long term , they should yield similar result. But tick data is not as reliable as data based on time ( i.e. multi-seconds, multi-minutes data), where did you get tick data ?
     
    #14     Jun 28, 2007
  5. joesan

    joesan

    Robin, beware of your system. Mid to High frequency strategies ,often traded by ATS, typically have a lower average expectancy per trade as well as lower drawdown .I have such strategies with similar profitability to yours, but the MDD this year so far is 3xx points and MDD this month was 163 points. 600 points DD is definately high, even for systems of lower trading frequency .
     
    #15     Jun 28, 2007
  6. I use IB tws and metaserver as data feed
     
    #16     Jun 28, 2007
  7. some people says volume chart tick chart better than minutes chart

    now it seems not correct for HSI
     
    #17     Jun 28, 2007