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S&P 500
5,186.33
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-3.00%
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US TECH 100
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-1.48%
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Dow Jones
38,703.27
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Post# of 79025
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WinLoseOrDraw

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WinLoseOrDraw

Re: hiker post# 13454

Saturday, 12/03/2005 1:10:44 PM

Saturday, December 03, 2005 1:10:44 PM

Post# of 79025
Yeah, the B&H return isn't great for the drawdown.

That said, that level of drawdown is pretty typical for trending systems applied over long timeframes. The past couple of years in US equities have been brutal for trending systems, if you look at trend traders like John Henry or the guys running Quadriga you find they were all looking at 50%-type drawdowns over the past 12 months.

Probably why the Red Sox didn't repeat. ;)

specially if all you do is backtest ;)

Heh heh heh.




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