Click here to Login





                                                   Max Trade Drawdown vs Max System Drawdown

  0

0
allan nathan
2021-05-03 09:37:35


Hi all,

Running a simple simulation on the SPY (buy and hold) to compare SPY risk reward metrics vs portfolio backtests.

What I do not understand is how/why on a one stock backtest,i.e SPY,the max trade drawdown % is vastly different than the max system drawdown %.

Shouldnt they be the exact same for a 1 stock buy and hold that only had 1 trade??

thanks,

Allan



QuantShare
2021-05-05 14:31:34

  0

If you set the number of position to say 2 then the system will invest only 50% of the money in SPY and the max trade drawdown will be double of that the system drawdown %


No more messages
0




Reply:

No html code. URLs turn into links automatically.

Type in the trading objects you want to include: - Add Objects
To add a trading object in your message, type in the object name, select it and then click on "Add Objects"










QuantShare

Trading Items
Maximum Intraday System Drawdown
Maximum Drawdown Composite Indicator
Updating Margin Factor During Drawdown
Drawdown Line
Time Under Water - Drawdown

How-to Lessons
How to add custom position-based metrics to your trading system
How to optimize an indicator in your trading system
How to debug a trading system using the money management tool
How to optimize the number of positions in a trading system
How to create and trade a Neural Network model

Related Forum Threads
Max Drawdown Statistic
Using Drawdown in sell rules
Drawdown from positions triggered vs positions accepted
System MAE Metric
How to read the number of positions in trading system

Blog Posts
The average maximum drawdown metric
How To Create and Backtest an S&P 500 Trend Following System
How to Select the Best Market Indicator for your Trading System
Money Management: Optimize a trading system
How to create a market timing system









QuantShare
Product
QuantShare
Features
Create an account
Affiliate Program
Support
Contact Us
Trading Forum
How-to Lessons
Manual
Company
About Us
Privacy
Terms of Use

Copyright © 2024 QuantShare.com
Social Media
Follow us on Facebook
Twitter Follow us on Twitter
Google+
Follow us on Google+
RSS Trading Items



Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.