actually the worst thing for most is to think......u r the exception.......most discretionary traders fail.....emini speaking.....most mechanical system non discretionary traders fail also.........i am sure u do quite well with your experience being so extensive....that is dues paid........well paid.........best to you
it's composed of 3 different parts. the worst individual part monthly drawdown since 1997 has been 8%, the worst global composition (i.e., so the portfolio in its entirety) has been 4 1/2%. Next worst drawdown was 3.X%. Hence how the sharpe is so smooth.