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Trailbrake

Member

Posts: 11

Joined: 2/5/2004

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Subject : RE: New Macro + Micro Method
Posted : 3/16/2018 4:29 PM
Post #44301 - In reply to #44290

That's awesome Daniel. It also highlights something I found when I extended the test period back to 1999 using Mark's list. This system is capable of a 40%+ DD during extraordinary events. In my case it was the tech crash in 9/2001. More interesting was the fact the system took no trades for the month or so that the crash lasted, assuming I did not screw up the testing somehow. In your case, it was the credit downgrade.

While I think the put hedging is one way to address this, I plan to dig in on trying to find systems that don't give up so easily when things go badly. At least start bailing the boat ;-)
Deleting message 44301 : RE: New Macro + Micro Method


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