Re: My Hedged Fund  Another "TrendFollowing" Post Quote:
Originally Posted by adamscj meanreversion  two 30% drawdowns in a year sounds quite hefty  what kind of annualized vol are you running at? 
I've gone back and built in the following metric to my software (Amibroker).
Take the standard deviation of all daily returns, as expressed in percentage, and multiply the resulting number by sqrt 252.
I then backtested with stake size of 0.5% per trade, 0.75% and 1.0% (I trade 0.75%).
The volatility of returns is fairly constant for each stake level, whether going back 5 or 15 years. For 0.5%, I get a vol of 20%, for 0.75% a vol of 30% and for 1.0% a vol of 40% (approximately).
I also look at CAGR/max drawdown, which tends to be high for 0.75% or 1.0%. So in answer to your question, my backtested vol is around 30% (roughly twice the stockmarket). I can't bring myself to go and dig up all my old closing equity balances, maybe that's something I'll monitor going forward.
