One Hell of a draw down

Just wondering your comments...

- The x axis is num trades, and the start date is nov 8th 2007.
- also, this strategy is MARKET NEUTRAL! I use no stops or Profit targets

 

Is it a mechanical strategy or a discretionary strategy? If its mechanical, then I think you have re-examine your parameters. If its discretionary, I would re-examine your psyche.

 

so what do you mean when you say "market neutral?"

It might not be as market neutral as you think.. it seems to go into drawdown when the market exhibits wide range bars

 

mech.

market neutral as in = $ long, = $ short

 

do the long $ have the same beta as the short$ ?

for example, if you are long microcaps and short spy, it's not a 1:1 hedge.

 

This is a very good strategy when the markets are behaving well. When the market takes a hit on the crack pipe stops get triggered in both directions. I suspect that is what happened.

 

actually I use std deviation, but yes std dev neutral

 

Bluegar, PTF seems to have it right. Is that what you are seeing when you look at the specific trade entries and exits?

 

explain what kind of system it is, and maybe I can provide some more input.

 

definitely what happened. I use a similar strategy but use more options in markets like this. Unless it was midday today, being long anything is just not worth it.