Anyone else in drawdown?

[AyePee]

Hi all,

I trade a trend following style. I have been in drawdown for some months now, and I was wondering if I was on my own.

My drawdown has been slow and boring, and so far, it is about 40% as deep as my back testing suggests is possible (not 40% of my equity).

So far, this drawdown hasnt worried me much, but it is starting to get a little boring. My motivation for doing the daily P/L and record keeping is slipping, as I feel like I will just be recording another loss.

Anyone else in a similar position? Anyone suggestions on dealing with such a drawdown?

Cheers,

AP

 

[Ambrose Ackroyd]

Give up pal and take a paper round.

 

[AyePee]

did you put a lot of thought into that.....thats for your input.

 

[trendie]

http://www.tradergav.com/2008/04/15/the-whipsaw-song-by-ed-seykota/

"Bass (Stick to the System):
What do we do when a draw down comes, honey
What do we do when it gets real big, babe
What do we do when it’s even bigger …
We stick to the plan and pull the trigger."

 

[Black Swan]

Give up pal and take a paper round.

I thought he was paper trading?

 

[timsk]

Anyone else in a similar position? Anyone suggestions on dealing with such a drawdown?

Hi AP,
Sticking dogedly to your plan is the right thing to do if your're confident that that it still has a positive expectancy. The nagging doubt, I imagine, is that the characteristics of the market have changed and that your strategy is no longer profitable. Obviously, if this is the case, you'd best stop trading it immediately. Why are the losing trades losing? An obvious example would be if you have a stop loss based on past volatility studies which indicate a stop of X points. Now, (for the sake of argument), volatility has picked up, stopping you out for a loss which didn't happen in the testing phase or when the system was generating a profit. In this example, expanding your stop - and reducing your position size accordingly - might solve the problem. Obviously, without knowing the details of your strategy, the general membership can't comment on the aspect of it that may be the cause of the drawdown. However, if I were in your shoes, I'd be going over it with a fine tooth comb to see that nothing significant has changed to produce the poor results you're getting.
Tim.

 

[Ambrose Ackroyd]

Draw down - deep - boring - slipping - months.....

Where do I start ?

Yeah, I gave your post about 3 minutes thought.

Everything is negative .... just look at what you wrote ...so negative.

Just give up if you cannot drag yourself off the floor and change to a different style of trading that does not have you fricking bored for months on end.

We have all been on the floor at one time(s) or another but you do need to be positive or else you are screwed.

 

[donaldduke]

Hi all,

I trade a trend following style. I have been in drawdown for some months now, and I was wondering if I was on my own.

My drawdown has been slow and boring, and so far, it is about 40% as deep as my back testing suggests is possible (not 40% of my equity).

So far, this drawdown hasnt worried me much, but it is starting to get a little boring. My motivation for doing the daily P/L and record keeping is slipping, as I feel like I will just be recording another loss.

Anyone else in a similar position? Anyone suggestions on dealing with such a drawdown?

Cheers,

AP

Do you trade a long term system? How many trades do you get a year?

As far as record keep, does you broker provide an API for trade and account info.
If so you can automate a lot of your record keeping.

 

[blancspa]

Draw down - deep - boring - slipping - months.....

Where do I start ?

Yeah, I gave your post about 3 minutes thought.

Everything is negative .... just look at what you wrote ...so negative.

Just give up if you cannot drag yourself off the floor and change to a different style of trading that does not have you fricking bored for months on end.

We have all been on the floor at one time(s) or another but you do need to be positive or else you are screwed.

just sell the sterling you idiot

 

[Xeno]

Hi all,

I trade a trend following style. I have been in drawdown for some months now, and I was wondering if I was on my own.

My drawdown has been slow and boring, and so far, it is about 40% as deep as my back testing suggests is possible (not 40% of my equity).

So far, this drawdown hasnt worried me much, but it is starting to get a little boring. My motivation for doing the daily P/L and record keeping is slipping, as I feel like I will just be recording another loss.

Anyone else in a similar position? Anyone suggestions on dealing with such a drawdown?

Cheers,

AP

Keep going if you're really sure about your system. My worry would be this - if you're 40% into your theoretical drawdown, and a few months in, it sounds like your system trades pretty infrequently. If that's the case, did you really have enough data in your testing sample to be sure about the system? How long is the longest drawdown in back testing?

 

[salvadorveiga]

ayepee, most trend followers did not have such a good year either ending rather flat or a little loss... so you're not alone. Trend following works ...maybe it's not fr you if you say it's boring etc etc... i had a drawdown of 20+% 3-4 months ago... but now already surpassed the drawdown, but did i stop trading? no... trends will apear sooner or later make sure you have a diversified portfolio to trade.

 

[DionysusToast]

If we put TA aside for a second.

Is it possible that the past 9 or so months uptrend in the markets was driven by liquidity ? That is the easy money going to the banks and them not lending it but speculating with it ?

If so - is it not then also possible that the recent announcements to stop certain types of banks from speculating will see a decrease in liquidity and see some $$$ pulled from the markets ?

Is it not also possible that many people are just standing by now to see what happens ?

If this is possible, and I think it is, then your mechanical system won't know about it and won't do anything to mitigate against it. It is entirely possible that the uptrend is over for now. It may or may not resume.

In the meantime, if you keep trading with a trend that may not be trending any more, you will hit 100% of your drawdown. Then what do you do ?

 

[montmorencyt2w]

Hi all,

I trade a trend following style. I have been in drawdown for some months now, and I was wondering if I was on my own.

My drawdown has been slow and boring, and so far, it is about 40% as deep as my back testing suggests is possible (not 40% of my equity).

So far, this drawdown hasnt worried me much, but it is starting to get a little boring. My motivation for doing the daily P/L and record keeping is slipping, as I feel like I will just be recording another loss.

Anyone else in a similar position? Anyone suggestions on dealing with such a drawdown?

Cheers,

AP

If you are a trend-follower, I assume you have read about the classic trend-traders, i.e. The Turtles and people like them?

I think some of them who went on to successfully manage large funds have known long-running drawdowns as well, and come out of it. So don't let drawdown on its own dishearten you too much.

What instruments do you trade?

As others have suggested, the nature of the market or markets you trade has probably changed somewhat over time. Would be good for you to find out a bit more about how and why, perhaps.

 

[meanreversion]

One of the early examples of a set of trades in the Faith Turtle book is in soya beans (I think). There are a series of actual trades listed; if you look at the ultimate p/l it looks groovy, however on closer inspection the first six months were spent in drawdown.

Sh-t happens, if it were possible to program an always exciting, always profitable system I guess no-one would be working.