Intramonth should be even worse.The worst DD was - 50%.With merely 2% of profit,add on latency,comms,slippage,etc...your bumed!
The superstars i know of do 20 to 40% - (after all fees and coms deducted) with the worst INTERMONTH DD of 7.5% having hard times to raise capital.The do but very slow.
For the education of the "educators" purpose.Just recieved un update verified by the 3-d parties.This is how it goes with the real grail holders.
Fordewind You use a starting capital of say 20,000 per instrument , your drawdown is based on initial investment . if on the first days of trading the formula loses 3,000 ticks out of 20,000 ,the drawdown is 15%. 700 ticks on a 20,000 tick account is 3.5% These exclude mistakes , execution errors , slippage , no fills etc but include spreads.Our slippage is minimal , because we trade manually on tickets.
15% is still a lot.The reward doesn`t worth taking the risk.Your worst DD more then 50%.What % of losing months in your sample(i don`t want to calculate,but think it`s close to 50%)?Plus your making very tiny profit(when/if) - 2%.What do you offer investors(if it ever happens) after 2/20 deducted?That`s bs.
I will check it out I can assure you , according to mental arithmetic of my system , drawdown is no more than 10% , the reward is about 40% , it is not brilliant but it is ok
I ddon`t know what mental arithmetics is.Drawdown no more than 10% and the reward is about 40% is brilliant but it`s not your case. You`d also need a sample from at least 2008 onwards,preferably from 2004,and to reduce the risk.Plus the quality data you`d need is only in posession of a few large institutionals(worldwide),which i doubt you have it.Sad,really?But it is what it is.Go try it.
here chart with drawdown periods with arrow , but this does not include relative intraday drawdowns. Maybe it is not going to work , I am giving all effort now Most of 2008 was a bad flat choppy year , then it picked up towards November and December , it returned 3,000 ticks .I already sampled it.This formula relies on high premiums sold , it dies on low premium instruments like fx . So if premium low , don't trade. BTW Thanks for your time , I was wound up with 80% drawdown that you mentioned.sorry
Hi Fordwin I don't have any live options experience in 2006 to 2008 , I suspect premiums were lower ,lower liquidity etc but % volatility still good but here are back tests 2006 to 2008 , they need to be changed with option prices in 2006 to 2008. https://www.elitetrader.com/et/thre...dices-via-option-spreads-beats-buffet.302879/