Request: WorstWeek / WorstWeekU

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Request: WorstWeek / WorstWeekU

Postby Jaded » Sat Jan 26, 2013 4:42 pm

I think this would be beneficial to producing systems with smooth equity lines.
Jaded
 
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Re: Request: WorstWeek / WorstWeekU

Postby Jaded » Sat Jan 26, 2013 5:51 pm

SDevWeek and SDevWeekU would be great also. Is there anything else that you can think of to try and produce a very smooth trend line?
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Re: Request: WorstWeek / WorstWeekU

Postby Overload » Sun Jan 27, 2013 10:46 am

Okay, I will put these on the list. I have found that by simply minimizing drawdowns, smooth equity lines can be created. But in downward moving markets, I have found that simply staying flat is acceptable for long strategies. Hoping that a strategy goes up consistently in both up and down markets might be asking too much of the strategy.

Pete
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