System no more producing result

Discussion in 'Strategy Development' started by clarodina, Oct 31, 2011.

  1. How to decide a system is no more producing result? Try using a mov avg on the equity curve but is subject to whipsaw. Any other method? max downdraw?
  2. Three steps in the process:
    1) determine MAX DRAWDOWN from historical backtesting
    2) throw a red flag when it gets to 80% of MAX DRAWDOWN
    3) At 100% of MAX DRAWDOWN pull the plug and reevaluate the logic vs. the market conditions

    If there were enough trades in the sample size of the backtest, then this is a good methodology.
  3. No system is that bad. Abandoning a system at the depth of drawdown is a sure fire way to lose big money over time.

    In a drawdown you already paid the admission price, why not stay and watch the show?

    All systems will get you back close to even. That's a good time to get flat if you didn't like the ride.
  4. Ever consider the "recovery time" could be several YEARS ?
  5. well, running one system to maximum drawdown and then switching to another system may take less than years to run out of money.
  6. switching at maximum drawdown is admitting the system is so bad that if I stick with it I will lose everything. As a matter of fact, if it's that bad I should just sell when it says to buy and conversely I should double my money in no time.
  7. I think you can create a system which can filter results using equity curve feedback or recent performance inside of TradersStudio. They have a simple example of turning a system on or off in TradersStudio using its equity curve. Has anyone tried a more complex example?
  8. Murray Ruggiero

    Murray Ruggiero ET Sponsor

    Here is a link to the equity curve tutorial
  9. Thanks for the reply, Mr. Murray. :)
  10. Buy the dip systems are bad??

    #10     Dec 8, 2011