Maximum adverse excursion

[meanreversion]

You strange person. Were you bullied as a child?

 

[Benton D Struckcheon]

Rather odd to see a debate about a piece of info that just might be useful. Oh well.
I just decided to put this in, figuring it would be a help, along with things like the max drawdown you might sit through on a given strategy. Don't see how having more information about how a strategy performs could be a bad thing. Also, it occurs to me as I write this that it's probably a better definition of the maximum loss you could expect to materialize on a single trade than the actual maximum loss that shows up on testing. Everyone knows, or should know, that the maximum loss that a strategy can really sustain is always going to be larger than the one that shows up in the test data, and this should help to give a better idea of what that might be.

 

[oildaytrader]

You strange person. Were you bullied as a child?

How can the bully boy be bullied?The bullying probably took place after marraige.Who got bullied I haven't the foggiest.If he was bullied and is taking it out on us, or behaving like a victim only the bully /bullier would know.

 

[donaldduke]

So would it be appropriate to class you forum free loader?

There about 200,000 members on Trade2win only a tiny fraction post.

There are plenty of free loaders around.

 

[oildaytrader]

There about 200,000 members on Trade2win only a tiny fraction post.

There are plenty of free loaders around.

They must be members of the 5 % club of winners .

O D T

 

[oildaytrader]

If there was anything remotely of value here then perhaps that might be appropriate description however there isnt, and I'm certainly not prepared to help a bunch of needy desperate monkeys

I see , must be why the other free loaders deposit dung as investment on forums.

 

[GammaJammer]

I actually took a look at this when I was mucking around with a publically discussed system here earlier in the year. By the end I was looking at adding some absolute money management to the volatility based rules. I agree totally that it was all getting a bit complicated by that point, but there did seem to be some merit in it as a tool for filtering out the nightmares. Ultimately if it increases expectancy, that's likely to be a good thing, with the caveats being the usual ones about sample size and the past not being a predictor of the future necessarily. But that's true of anything you test really. If it wasn't that way, there would be free money. And I firmly believe in the long run there isn't free money inherent in directional proprietary trading these days.

My $0.02

GJ