BrianD Legend  Posts: 302 Joined: 2/23/2013 Location: Grand Rapids, MI  User Profile | Jim: May be hard to get CALMAR over 2.0 during time period from 2008. You might to work from a personal pain level at % MDD as a threshold instead? I suspect your # of strats output dropped because of things like RTM based Strats like volatility, Trending perform better during constant state. From 2008, there has been extremes of both. Nice thing about OV backtesting. - had quite a few distinct market states over last 10-15 years, so you can get an opportunity to review how different strat types perform in varying markets. | |
