Drawdowns

This page shows the drawdown history (max between peaks) of the new strategy including the recovery period (in trading days) from each, the time in trading days between peaks, and the time (in trading days) from the max drawdown until the next new high – i.e. “Valley to Peak”.

As noted below:

1. The AVERAGE drawdown is LESS THAN 2%,

2. The AVERAGE recovery period (in trading days) – i.e. the total number of days to get back to a new high AFTER the first drawdown day subsequent to a new high on a prior day – was LESS THAN 3 (trading days) – this is merely the Peak to Peak minus 2, and

3. The AVERAGE peak to peak period – i.e. the number of trading days FROM one new high to ANOTHER new high (excluding consecutive days with new highs – i.e. only periods with drawdowns between new highs were used)  was just under 5 (trading days), and

4. The AVERAGE valley to peak period – i.e. the number of trading days from the maximum drawdown in a period until the next new high was just over 2 (trading days).

5. Note I also added a new proprietary measure that takes the sum of the Valley to Peak and Peak to Peak. The lower the number the less days between new highs and the lower the number of days to get to a new high after a valley. The minimum this number can be is 3. My average is around 7-8.

DrawDowns

Not bad, huh?

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