J2L
2nd October 2004, 07:44 AM
hello David
I've read this in Dr Van Thrap's Trading forum, and it makes sense to me :
"Rather than focus on absolute annual returns, I would look at the ratio between average annual return and maximum drawdown (from an equity high). Any system that has a positive performance on an annual basis, and has maximum drawdowns that are less then the annual return could be considered tradable. A system where the average annual return is double the maximum drawdown is very good (especially over a long historical period or significant number of trades)."
If you share this opinion, would you please in the next release, add this ratio in the Detailled Report ? (maybe in stead of Absolute (P to V) Percent Drawdown, which wheigh the report and doesn't bring more information than Absolute (P to V) Dollar Drawdown )
regards, jean-louis
I've read this in Dr Van Thrap's Trading forum, and it makes sense to me :
"Rather than focus on absolute annual returns, I would look at the ratio between average annual return and maximum drawdown (from an equity high). Any system that has a positive performance on an annual basis, and has maximum drawdowns that are less then the annual return could be considered tradable. A system where the average annual return is double the maximum drawdown is very good (especially over a long historical period or significant number of trades)."
If you share this opinion, would you please in the next release, add this ratio in the Detailled Report ? (maybe in stead of Absolute (P to V) Percent Drawdown, which wheigh the report and doesn't bring more information than Absolute (P to V) Dollar Drawdown )
regards, jean-louis