No one can admit to having it as it is covered under Non-disclosure, just like the greed indicator and big traders oscillator and the before market neuralnet predictor... ooops .. now I gotta kill anyone that reads this message ... you have been warned!
Writing to you from the wonderful province of Ontario, Canada. Home to the world's biggest natural negative ion generator, the Niagara Falls, and to those that dare to know how to go over it in a barrel. SALUTE!
First I want to say that on one hand I'm very disappointed from the answers I got on my questions, on the other hand I'm very glad. Now I know why 95% fail.
To the second question: max NP=100K and min NP=100K. I learned it in first grade.
Min DD=0 and max DD=36K.
So I will buy a beer (the typo correction was the greatest contribution to this thread) to myself.
Now for the estimate, its true that because itís the same strategy run on 20 Forex pairs, which are some how correlated with almost same parameters on same time frame, the DD may be also correlated. In other words will happen at the same time.
On the other hand I know that the "Holy Grail" in trading is trading different strategies and/or on different instruments and/or or different time frames together. Actually I wrote about it on this forum more than a year ago. (It is called "The most important aspect.."). In that thread I even stated that it can more profitable to add a losing strategy into a basket. Instead of asking me to explain how I got to this conclusion I got same smart Ö answers as in this thread.
So my estimate would be that DD will be less that 10K.
I don't understand why some one needs sharp ratio to get to this conclusion (did someone look into the formula for a sharp ratio?), also why profit factor is needed (a clue: profit factor is not NP/DD).
Attached are the actual backtest results. I want to state again the flaw of this backtest is that it was not done on Bid/Ask. So please don't concentrate on the net profit per se, but on the relation between NP to DD.
I want to asure you that the DD was calculated correctly (better than by NT).
If you don't believe me I can post the 13K+ trades. (I will delete from the page the currency pair, the entry time and the entry/exit prices. They are not relevant for the DD calculation and I don't want to post them).
You can make same tests yourself with your strategies and believe me you will get the same results for the DD and NP. (NP = ∑NP and DD smaller then you expect).
If someone has a legitimate and honest question I'll gladly answer, but if you want to make some sarcastic remark pls keep it to yourself.
Last edited by LukeGeniol; February 11th, 2011 at 07:28 AM.
Reason: not well readable, layout adjusted .
You said to focus on the NP/DD which I am. I don't understand what I'm supposed to see. Not sure how you came up with a total drawdown of $3119. The total drawdown is $25,250.85. Please enlighten me on how you arrived at the 3119...
For example lets say we have two strategis each makes 1 trade a day. So if strategy #1 is +500$ on day one and -300$ on day two, its DD is 300$. If strategy #2 is -300$ on day one and +500$ on day two, it also has a DD of 300$. What is a daily DD of trading together?