Longest Drawdown
Posted: Sun Dec 12, 2010 10:42 am
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?
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)