Longest Drawdown

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jgh2020
Full Member
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Posts: 20
Joined: Wed Jan 02, 2008 6:31 pm

Longest Drawdown

Post by jgh2020 »

When analyzing long term trend following systems, the shortest length of drawdowns seems to be approximately 16-17 months. Any tips to further shorten this time frame?
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rhc
Roundtable Knight
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Joined: Tue Nov 18, 2008 8:46 pm
Location: Oz

Post by rhc »

Here (**LINK**) is one long term trend following system that had a drawdown length of 11.7 months. It was then reduced to 7.8 months by employing an additional simple exit rule.
This represents a 33.33% reduction in drawdown length (for THAT particular system)
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