Interesting Equity Curve
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Interesting Equity Curve
This is a short term forex system that I'm working on. This is the equity curve from July 1991 to Jan 2008. Max DD of 9.3%, MAR of 1.7. Monte Carlo 95% DD of 15%.
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Hi levijean,
this is a frightning demonstration (if indeed not curve fitted). Thanks for showing us. My 2 cent:
a) Actually you are still within the parameters of your backtest. You wrote: "Monte Carlo 95% DD of 15%", so the current 20% don't seem incompatible with that. Of course look and feel of the underwater curve tell a different story ...
b) Systems with an edge always exploit some market inefficiency. (Thereby they reduce that inefficiency and make the market as a whole more efficient.) It seems the inefficiency your system was designed to capture has disappeared, at least temporary ... I've seen that happen to other systems, but not like that, not like a switch.
I for one would be interested in how that picture looks in some months.
Regards,
Asamat
this is a frightning demonstration (if indeed not curve fitted). Thanks for showing us. My 2 cent:
a) Actually you are still within the parameters of your backtest. You wrote: "Monte Carlo 95% DD of 15%", so the current 20% don't seem incompatible with that. Of course look and feel of the underwater curve tell a different story ...
b) Systems with an edge always exploit some market inefficiency. (Thereby they reduce that inefficiency and make the market as a whole more efficient.) It seems the inefficiency your system was designed to capture has disappeared, at least temporary ... I've seen that happen to other systems, but not like that, not like a switch.
I for one would be interested in how that picture looks in some months.
Regards,
Asamat
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Can you elaborate?
Can you elaborate on the "bad data".
Was it just for 2008 or the entire timeframe.
What does the graph look like now with the good data?
Was it just for 2008 or the entire timeframe.
What does the graph look like now with the good data?