Dave's explanations are correct.
Here is the link to the DD study that I finsihed this morning:
http://www.effectivevolume.eu/conten...n_analysis.pdf
Pascal
Dave's explanations are correct.
Here is the link to the DD study that I finsihed this morning:
http://www.effectivevolume.eu/conten...n_analysis.pdf
Pascal
Hi Pascal,
Thanks for the reply.
During 2008, both IWM and GDX have max draw down more than 25%. But IWM/GDX model has about 10% draw only, during that time. Why that will happen, I will expect it will be still 25% drawdown, I understand they have low correlation factor, but just based on the diagram, they are both making a 25% drawndown at 10/15/2008 but it is only 10% when they combined.
Also, any suggestion about free dividends adjusted data I can find. I just want to verify the trade myself and if I follow the robot, I can follow it correctly.
Cheers,
Ellis
It is because the diagram is not precise enough. Both IWM/GDX did not have their worst drawdowns at the same dates, but two weeks apart.
On Oct 8, 2008, the GDX DD was -28% and IWM was -3%
On Oct 23, 2008, the GDX DD was 0% and the IWM DD was -29%
During that period, IWM/GDX often had opposite direction signals.
The DD of the portfolio is of course not the average DD of each component.
Yahoo supplies the dividends corrected data.
Pascal
Last edited by Pascal; 07-01-2011 at 10:15 AM.
Exact!
pascal
Hi Pascal,
Based on this doc, "IWM_GDX_Portfolio_Analysis".
If you are 100% long on GDX and then after the close of the day, the robots give the following signal.
IWM long
GDX strong long
Should we close half of GDX and buy IWM with limit order?
Or, should we simply allocate half/half to GDX/IWM and follow the robots separately?
What is your suggestion?
Cheers,
Ellis
Hi Pascal,
Can I assume the following? For example,
Shorted 7/25/2007 8/1/2007 77.42 74.37 3.94% 1.12%
Means, at 7/25/2007, put a short limited order at 77.42 before the market open and it should be filled, but do you have a protective stop loss order along with the first short limited order?
at 8/1/2007, closed at 74.37, it should be closed by a trailing stop, can I assume this stop is available before the market open?
Cheers,
Ellis
Pascal, in the document you posted today, did you use intraday or end-of-day drawdowns in the analysis?
Thank you.