Control Drawdown
Author: techtrader007
Creation Date: 1/27/2011 4:02 AM
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techtrader007

#1
Good morning,

I have two question. I see in the positionsize control drawdown. The system stop here if the drawdown falls a certain percentage, but not if the drawdown recovers a certain percentage and the system start again. Is this possible to program this WL 6.1?

Concerning backtest. I created a wonderful backtest, but in the real world it does not work. I would like
to test my backtest with a forward test. Is a forward test coming in the next updates or in this year.
I need some clarification for my plans 2011 to get more professionell.
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Eugene

#2
Re: "positionsize control drawdown"

I'm totally confused. We're used to talk about Technical Indicators in this forum called "Technical Indicators". PosSizers are not technical indicators. What are you looking for? An indicator of portfolio drawdown to use in Strategy code? Please clarify.

Re: walk forward test. Already replied to you earlier in a different thread:

Walk Forward Test

Please consider using My Bookmarks to avoid repeating questions.
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Eugene

#3
P.S. Nothing has currently changed with regard to WFO.
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techtrader007

#4
How does my bookmarks work? I don´t see any sign where I can click except on the left side, but how can I add this to my Bookmarks.There is no defintion.

If you reklame positionsize for technical indicator, where should I add this theme? First I thought General but... .
I don´t find any moneymanagement theme to click.

I am looking for an enhancement to continue the system when you use controll your drawdown,
so if the system stop after a drawdown of -10% and recover to -5% then restart the system again.

Drawdown:
STOP: -10% Restart: -5%
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Eugene

#5
I do not want to trouble you with putting the thread in a different forum, I just didn't understand the request in the given context. But your clarification helped, and now I see what you're after:

Exit trades/Resume trading when portfolio drawdown curve crosses x% threshold

This is on my longer-term plan for the MS123 PosSizer library enhancement. I will consider your/Ted's request later this year when enough requests and ideas accumulate.
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Eugene

#6
To bookmark a topic, click on Topic Options >> and there on "Bookmark this Topic":

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techtrader007

#7
thanks.
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Eugene

#8
I took another look at your question in the context of the Control Drawdown PosSizer (only) and found that the proposed idea won't fit because the underlying idea is to not let drawdown exceed some threshold.