Trading Systems and Money Management : A Guide to Trading and Profiting in Any Market

Chapter Drawdown and Losses The only thing true about trading is that we will all go broke if we just stay at it long enough. Th ...

vided you’ve done your homework correctly. Unfortunately, however, very few systems designers (professionals and amateurs alike) ...

“improved” system, a maximum drawdown of $30,000 might have taken place right off the bat, depleting the capital by 30 percent ( ...

provided you go long or short the same number of shares throughout both trading sequences, a high drawdown still can be better t ...

Basically, there are two ways to get a better feel for the maximum drawdown. One is to calculate the average drawdown and the st ...

MeD Median drawdown MaD Maximum drawdown Note, however, that this analysis says nothing about whether any or all of the differ ...

it per trade and a high number of profitable trades, but also a very high DFI, you can conclude that the maximum drawdown most l ...

hole—and then gave back $1,500 of the open profit, your total equity drawdown would now be $1,500 (day 4). If you look closely a ...

it down when it comes to how one must go about examining the markets and the systems in an appropriate and scientific fashion. O ...

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CHAPTER 6 Quality Data All that we have talked about so far matters very little, however, if we don’t have the right and appropr ...

FIGURE 6.1 Microsoft trading data—1986. Actual performance. FIGURE 6.2 Microsoft trading data—1986. Version 1. 68 ...

FIGURE 6.3 Microsoft trading data—1986. Version 2. FIGURE 6.4 Microsoft trading data—1986. Version 3. 69 ...

Obviously, the data providers behind the data in Figures 6.2 and 6.3 thought that they were doing me a favor by not letting me b ...

stop relates to. And the only way to achieve that is to work with percentage-based (normalized) calculations. A Scary Futures-Ma ...

Using the nonadjustment method, you simply stop charting one contract when it expires, or when you otherwise deem it justifiable ...

results. Therefore, nonadjusted data are best for day traders with very short trading horizons, who more often than not close ou ...

This continuing decrease (increase) of the relative importance of historical moves in an up trend (down trend) and markets that ...

Figure 6.8 shows what the October 1987 crash looks like through the per- spective of the ratio adjusted data (RAD) contract, wit ...

76 PART 1 How to Evaluate a System Understanding Profitability In this first part of the book, we have learned that, to build go ...