by billb
8. April 2009 17:57
I was running through some tests in RightEdge today and had an interesting observation on the drawdown curve chart.
(click to enlarge)
This is a simple Bollinger Band penetration system run over the Dow 30 since 1962. The very right edge of the chart shows by far the steepest drawdown that this system has encountered. Band penetration systems are relatively light on drawdown, in my experience. This is because they're not in the market a lot. This has its own sets of ups and downs (you miss many a bull runs, but catch some terrific snap back rallies). But the fact that a limited exposure type system experienced nearly a 60% drawdown is a little rough. The max drawdown and exposure both occurred in 2008. Pretty incredible.
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