"I started trading my E-mini S&P AutoTrade® program on WorldCupAdvisor.com on 3/11/2014 to trade one contract of the E-Mini S&P with a starting balance of $20,000. The Net-Profit generated since then has been $19,378 after deducting all commissions and fees in 61.45 months of trading with a Drawdown of -47.8% (6/30/14 to 1/31/15). That’s a Net-Return of 96.9% showing that mechanical strategies can hold up in real time. You can make the same trades at the same time in your own account automatically at WorldCupAdvisor.com." How many of you would sit through or have sat through a a near 50% drawdown or to make 100%?
Wouldn't want to "handle it". For such a drawdown, there has to be a flaw in strategy. Sure, it came back "this time". Didn't have to.
That's the kind of system sane people shut down before going apeshit. Larry has the kind of money to just keep'em going for laughs. It's almost as if he's practically commenting on the contest rules..
I start questioning my sanity at around 30%, but in a mechanical sense (since the OP is about a mechanical trading system) it is the DD that survives the monte carlo analysis and does not diminish the total profit at the end of the test period. But since real life is not a back test, any DD requiring more than a 50% gain to recover is a real psychological barrier and that puts the threshold at 33%