DRT / DRA
Posted: 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
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