NOTE : 85% drawdown on the backtest reports posted by progers82, not original system. I don't think its a good idea to risk more than 85% of ur capital to get 400% returns. You only know if ur system is failing at 90% drawdown which is close to total wipeout. On a $1 mil acc, u will lose $850k and more. :eek:
only if you blowout right out of the gate. and yes i agree, that would be disastorous. some people can handle more risk than others. if you don't want the 85%, as i said before double or tripple your starting cash and then you decrease your drawdown. you also decrease your return.
Progers82: Please post the rules or code to trade your system here, otherwise I assume you are trolling for clients for your managed accounts program. If that is the case , your posts here are off topic and I suggest you start a new thread.
the only point im making is that drawdown vs initial capital is a very important number. if you know what your drawdown is in terms of a historic $dollar value, you then can justify how much you want to invest in relationship to how much risk and pain you are able to withstand. the last thing im interested is customers. when talking about system trading, drawdown vs capital is one of your first important topics.
Since the account data hasn't been updated since April I doubt he is trolling. But I do agree that he is off topic.
It's an interesting question whether this is true or not. While the results are best on the Russell, the late afternoon breakout w/ hold until the close is moderately profitable on all the indexes. If you look at the big SP, very simple variations of this strategy work ok (1.2 - 1.3 profit factor) all the way back to 1983. So perhaps this is a method that captures some fundamental market behavior that is unlikely to go away, and the reason the best results come from the Russell is that it's a trendier and more volatile instrument. Definitely interesting to see how it holds up in the future. -bbc
Hmmm...if this system works and everyone starts trading it...wouldn't that make it not work anymore? Lets see...90% of traders lose, 10% wins. If this simple system works and the 90% starts automating it, we'll have more and more winners until there is no one else left to win from. No?