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When your portfolio is experiencing a period of drawdown, how do you know whether its just another drawdown or whether the system no longer works because market dynamics/conditions have changed?Good question! I don't know the answer but do like the idea of a system turning itself off if the market conditions don't suit it.Equity curve smoothness is quite subjective. Is there a reasonable metric that measures equity curve smoothness? Sharpe ratio is part way there but if a curve has the occasional upward spike the Sharpe ratio drops even though the system is ok. I probably should do a Google search on the topic.Where would the challenge and excitement be if we had no drawdown. stevo
When your portfolio is experiencing a period of drawdown, how do you know whether its just another drawdown or whether the system no longer works because market dynamics/conditions have changed?
Good question! I don't know the answer but do like the idea of a system turning itself off if the market conditions don't suit it.
Equity curve smoothness is quite subjective. Is there a reasonable metric that measures equity curve smoothness? Sharpe ratio is part way there but if a curve has the occasional upward spike the Sharpe ratio drops even though the system is ok. I probably should do a Google search on the topic.
Where would the challenge and excitement be if we had no drawdown.
stevo
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