Technical Analysis of a system's performance

Discussion in 'Strategy Building' started by skiabox, May 18, 2003.

  1. skiabox


    Has anyone ever tried this one?Considering that the most profitable systems have large drawdowns do u believe that finding a trough in system's profit curve or find when it begins to recover from a drawdown it is a good entry point?Has anyone ever tried to do technical analysis on profit curve?
  2. Is that a fact?
  3. A system trader in my group has done well with the MA approach. Only use live trading when curve is above the specific MA. Good Luck.
  4. I disagree with this assertion as well. Personally I would like to see a list of systems, their key principles and the drawdown quantification for them.

    It is very important to know why people do the work they do and how they get to the conclusions that they do.

    From what I have seen the two groups, market performers and performance qual and quant types, The performers are way ahead of their assessors.

    The thread looks like it is oriented to mechanical stuff from the get go.
  5. i agree with you that sometimes the best point to enter a trading system is during a drawdown, but there are plenty of systems out there that try to "smooth" the volatility curve. if the system that you are dealing with has (among other things of course) set stop-loss parameters, profit points, defined day-trade vs. overnight exposure and trailing stops, the risk you take per trade can be reduced, therefore "smoothing" the equity curve. there are some systems out there (believe it or not) that just try to "hit the homerun" but in the meantime, get killed by not protecting against the inevitable bad trade that can cause a severe drawdown, even more than hypothetically stated. PM me if you want to talk more about systems trading and what to look for in a good system.
  6. I do not believe that trading the MA is a good strategy, I have done extensive tests on various trading systems and while you may decrease drawdowns, you will definitely lose tremendous returns on the long run.
  7. Hi,

    I think you have to test whether there's any relationship between drawdowns and run-ups and trade that if you can find some correlation beween the two. I notice that each individual trades are pretty much independent with each other. I think you also have to know when to stop trading. This is harder than the entry based on your equity curve.

    Good Luck!

  8. Saw this in the NY Times regarding homeless living in MCDonalds. They look for patterns in lottery numbers--- sound familiar???

    Mr. Ding had begun to circle, making his pitch for donations.
    “I’m the 19th generation,” he continued. “There will be no beggars in China after I’m dead.”
    A man offered a newspaper. A woman gave 50 cents. A young girl extended a French fry.
    Mr. Ding returned to his seat, opened the newspaper, and began studying the lottery numbers, searching for patterns.
    ↗️ Today’s Headlines: Asia Edition