Any system that makes spectacular winnings has spectacular drawdowns. It is the basic rule of statistics unfortunately. What goes up, goes down just as far. I use a trend following system of pullbacks into MAs but I insert my discretionary instincts. Only way to not have huge drawdowns. When I went to TradeStation that bullshit about Automated Trading really captivated my imagination. I could be off having fun and my computer would be working all day getting me money. And I could sell the damn thing to other people and we would all be rich. I wish!
Near zero drawdown is a nice dream. It would be even nicer to really have such a system . I do not think that system should be called " good " if it has serious drawdown . There is always a way to minimize them. Walter
can be measured in terms of consecutive losses in a row or maximum $$$ loss. Hence drawdowns can very depending on the user of the said system.
Even then, I noticed, breakout system may not take a full advantage from the run-up, thus losses from drawdown will not be recouped fully.... Unless you choose correct period for breakout (or correct moving average lenght). Longer periods seemed to work better for me, but they leave a lot of money on the table. And returns I got in backtesting are very modest.