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This is a discussion on my journal within the Trading Journals forums, part of the Reception category; http://en.wikipedia.org/wiki/Ennio_Morricone http://en.wikipedia.org/wiki/Sergio_Leone http://en.wikipedia.org/wiki/Once_Up...ime_in_America http://www.letmewatchthis.com/watch-...ime-in-America...

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Old Oct 26, 2009, 7:06pm   #426
 
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Yamato started this thread Oh, I just saw your post. This will take a while, probably. I will answer later. I have to go offline for a while: I have to go for a swim in my bathtub. My one position is getting better: -110 right now.
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Old Oct 26, 2009, 7:21pm   #427
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Quote:
Originally Posted by travis View Post
Oh, I just saw your post. This will take a while, probably. I will answer later. I have to go for a swim in my bathtub.
Probably for the best, I think I made a mistake in it

What I posted before finds the largest fall made up of consecutive losses. However I now realise that "biggest drawdown" actually means the biggest fall from the historical peak, even if there's a bit of up and down action along the way.

Hopefully this is closer to the mark:
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Old Oct 26, 2009, 8:44pm   #428
 
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Yamato started this thread Ok, I'll answer in a few minutes. In the meanwhile, I saw it coming, yet another discretionary trade by me, on the EUR (big opportunity!). Sorry everyone: big breaking of rules once again. I went LONG on the EUR.

The GBP is losing big time and I think this added to my frustration, and made me think: "oh yeah? I'll show you now!".

So now I am losing 240 dollars on the GBP (the system is long), and I am making already 35 on the EUR (obviously it touched bottom). I just knew very clearly on Friday that breaking my rule once meant going wild in the future. And it's happening, little by little. Ironically, I made money Friday and I will make money today because that's how it goes when I am still prudent, but it only lasts a few wins. Then I get cocky and give everything back plus more money (ALWAYS). One day I'll get cocky, make a mistake, double up triple up on the mistake, and lose my entire capital.

Anyway, now I'll post my loss on the GBP, and then I'll get down to answering your questions.
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Old Oct 26, 2009, 9:01pm   #429
 
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Yamato started this thread
Quote:
Originally Posted by Weighbridge View Post
If I understand correctly, then you can do this by adding an extra column in Excel. The column tracks what I've called the "running drawdown," which is like a running total except that it gets reset to zero whenever there is a positive day. Then you use the min() function on that column to find the biggest drawdown.

Hopefully the piccy explains better than words:
Ok, so far (I read the next post and reply to it next) I thank you very much for taking the time to help but I slightly disagree. I would say the drawdown, the way I compute it, is close to 38 (one more one less). Indeed. Because if you lose 27 on a trade and then the next is a +1, it doesn't delete your whole loss but just 1, so that you'll be at -26. Then the next trade is negative, you add it to that... let me show you the way I'd compute it (but I don't know what formula would automate that).

-3
dd -3
+2
dd -1
-5
dd -6
+6
dd 0
then you could start all over again (if tha can help)

So maybe I'd use this condition: NOT if next trade is positive reset everything, but if the count becomes positive reset everything, but then again I don't know what I am talking about: my brain is melted from work already. All day long on excel!

Hold on... maybe something is growing in my head... like an idea... here it is, brainstorming-style: we can't keep on adding trades forever because that won't work either, but we can't stop adding trades either. I'd say we stop adding trades if the count becomes 0. But how? Hold on... thinking and testing... (then later I'll see if you got it already in your next post: right now I don't want to lose my train of thought).
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Old Oct 26, 2009, 9:19pm   #430
 
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Yamato started this thread Holy cow! Holy cow! I found it!!! Thanks so much for your input, otherwise I wouldn't have gotten to it. You saved me one hour of work per week for all future weeks of my life. In the posted excel sample I am using the real drawdown of one of my systems. I will now read your answer to see if you provided me with the good answer in your second post. Thank you.
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Old Oct 26, 2009, 9:21pm   #431
 
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Yamato started this thread It's beautiful how this formula works, but I still don't get how it works so beautifully. Thanks for making me realize it could be done.
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Old Oct 26, 2009, 9:25pm   #432
 
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Yamato started this thread Wow, it works from all points of view and it works on all dozens of systems, and to think that for weeks and months I added all these figures manually, exactly like the formula does, and I never thought I could come up with it... What a great thing you told me. See, good thing I am posting here this apparently useless journal... it's more what I get from the readers than what I give.
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