DRT / DRA

Discussions about Money Management and Risk Control.
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Chris67
Roundtable Knight
Roundtable Knight
Posts: 1046
Joined: Tue Dec 16, 2003 2:12 pm
Location: London

DRT / DRA

Post by Chris67 » Mon Feb 09, 2004 12:56 am

Dear All..

I have a question and an observation.

Firstly , I assume one only uses closed equity at all times for these 2 numbers .. If this is the case then the DRT will not take into account drawdowns on total equity ? Does that sound right.

Also an observation I have made .. just wondered if anyone else had seen the same thing .. on many systems/ combinations of systems I see better results by reversing the DRT/DRA numbers .. for example DRT of 20 % with a DRA of 10 % .. Although Logic tells me it would be more conservative to do it the other way round .. i.e reduce capital more than the drawdown ... The results I am finding just dont show this ??

Regards
Chris

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