flat MAR
Posted: Wed Feb 07, 2007 1:20 am
As I understand MAR is a function of CAGR and CAGR is a function of the percentage drawdown and whatever rules an individual deems appropriate when compounding.
Since I do not test using compounding I chose to calculate a flat MAR based on a fixed drawdown of 30% account size and no initial margin.
So it is flat %pa / 30 in that case. At least it allows easy comparisons across different market tests.
This might be a useful idea for others who use their own testing methods. Of course it is a bit redundant because the flat %pa serves the same purpose if the drawdown is uniform. However I have found from a few simple tests that the flat vs compound % values are not that much different so it may be a rough guide to compare against other quoted MAR values taking into consideration the %drawdown of course.
Since I do not test using compounding I chose to calculate a flat MAR based on a fixed drawdown of 30% account size and no initial margin.
So it is flat %pa / 30 in that case. At least it allows easy comparisons across different market tests.
This might be a useful idea for others who use their own testing methods. Of course it is a bit redundant because the flat %pa serves the same purpose if the drawdown is uniform. However I have found from a few simple tests that the flat vs compound % values are not that much different so it may be a rough guide to compare against other quoted MAR values taking into consideration the %drawdown of course.