Poll: How long is your longest flat period?

Discussion in 'Trading' started by DT-waw, May 2, 2003.

  1. 66% of votes <3 months
    You're really good in making your equity curve smooth... :eek:
    I should also ask for how long you trade.
  2. tomf


    you should ask whether it went positive or negative after the flat period ;)
  3. lescor


    Don't forget that the results you are quoting are from people running large amounts of money. They can't control their downside as tightly as smaller traders can. If bad news hits my position, I can be out in seconds. When you are in a million share position, you have to ride it out.
  4. lescor, you assume that CTAs drawdowns are connected with 1) single, sudden, fast market moves 2) too low volume in relation to trade size. I don't think that's the case, b/c 1) drawdowns and recovery periods take many months, they're rather connected with general market's conditions in these periods, 2) since many CTAs trade on multiple markets (30 to 60 including forex) and many use multiple strategies for trading each market, problems with orders executions probably have little influence on poor performance.
  5. First of all, sorry for the mistake. The figures I've posted above are months to recover from CTAs' worst drawdown + months when worst DD has taken place. The flat period in some cases is much longer. There's one study I've found regarding this subject, "How do CTAs' Return Distribution Characteristics affect their likehood of Survival" by Mr. Fernando Diz ( http://www.mfainfo.org/images/pdf/diz-rez.pdf ). He analyzed 925 programs during 1975-1995 period. On page 7 you'll see variable "Months to recover from Worst Drawdown". The mean for this figure was 21 months, avg 38% of program's life!

    Now I have a question. How is it possible: 62% of votes say that your longest flat period was below 3 months, when the average learning curve for newbie traders is 6 months and 90% of all traders lose? What are possible reasons for this?

    1) Only profitable traders responded to the poll
    2) Sample is to small (only 16 votes)
    3) Traders who have responded to the poll trade for a short period of time
    4) ET Members outperform CTAs... :) in terms of return, risk, flat periods, etc. b/c they trade with much smaller capital, more frequently (day trading).

    What do you think?
  6. Flat since 1967
  7. you're kidding, man! :D
  8. lescor


    My guess is mostly choice 3. That's what I meant by smaller sized traders can control their risk tighter and should have shorter drawdowns. Plus they are putting their money to work in new trades much quicker, so (assuming they know how to trade) they can come back from drawdowns faster. Personally, I've never gone more than 3 weeks without making money since I learned how to trade properly. Until this month I've also never held a position more than a week.
  9. I have had difficulty making daytrading profits in ES ever since the first day of the Iraq war. Market was shot down and is barely moving intraday.
    #10     May 5, 2003