Discretionary trading

[grems8544]

Below is a link to the IWM/GDX portfolio analysis.
http://www.effectivevolume.eu/conten...o_Analysis.pdfl

Thank you Pascal. Great documentation, as always.

With an IWM historical MDD of -10.5%, is it safe to conclude that using the leveraged triple ETF would result in a MDD in excess of -31.5%?

Regards,

pgd

[Pascal]

Thank you Pascal. Great documentation, as always.

With an IWM historical MDD of -10.5%, is it safe to conclude that using the leveraged triple ETF would result in a MDD in excess of -31.5%?

Regards,

pgd

If you use leverage blindly, this will be the case, but knowing that there is an astounding 0.49 correlation factor between the MDD and the 20DATR, what you need to do is to avoid tripple leveraged when the ATR is above a certain level (my hunch is above 3%) and avoid double ETF when the ATR is for example above 5%. This way, you really reduce the MDD, but you keep your potential for big gains. I would need more research to find out the real combination though.


Pascal

[Rembert]

Thank you for the analysis Pascal. Seems like Pareto's law applies to the robot signals as well in that 80% of the profits come from 20% of the signals. One of great things about the VIT robot is that it's able to tell up front which signals are likely to fall into that 20% category. This is something most systems can only do in hindsight.