Replies to post #13454 on ETF SWING & DAY TRADING

[WinLoseOrDraw]

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.

[positiontrader]

Perhaps I am reading this wrong but I take it to read
Exposure: 15.2% of the time Risk adjusted ann. return: 45.72%

You are only exposed 15.2 % of the time
6.93% annual return x 1/.152 or(6.5789) = 45+ percent return for time exposed X a 2 X fund gives you an adjusted ann. return of >91% for time exposed. Not Bad
Am I reading this correctly?

Regards

Marc