Discussion in 'Trading' started by radiusvector, Dec 28, 2017.
LMAO! I'm a "parasitic trader"!!!
I think your 35% drawdown is the key. It's one thing on a backtest where you see the P&L curve come back up a few weeks/months later. It's one thing on a 10k gambling money account. Now imagine you have all your life savings there. Can you wear 35% and not stop your system / change its parameters? My guess is most of us will panic and get out at the low point.
So my advice would be - think about how much you are comfortable losing, divide that number by 2 and solve for your system max historical drawdown before trading - because trust me, your actual max drawdown will be closer to 2x the historical one!
On a brighter note - these drawdowns are the reason no institutional money can follow these strategies, and why they're viable for retail investors / not arbitraged away. Good luck!
Great advice. At this point, I'm starting small. Very small. $100 on my live trading account, primarily to make sure that the trade structure/entries/exits/winrates and other metrics stack up close to the backtest. I don't expect them to match 100%, but I'm looking for atleast a 95% confirmation which would give me the confidence to add to the account. Above that, good point on the emotional side of that loss - losing 35% of x is different for different people, and I'll need to figure out where I put that x.
Here's to a brilliant 2018 of learning, and maybe profit!
Very impressive returns. The 10 yr SPY had a worst drawdown than yours. You may have discovered an excellent system.
Can you please elaborate why you say F Ernest Chan? Is he not well respected teacher in the automated trading arena?
Separate names with a comma.