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                                                   Max Trade Drawdown vs Max System Drawdown

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allan nathan
2021-05-03 09:37:35


Hi all,

Running a simple simulation on the SPY (buy and hold) to compare SPY risk reward metrics vs portfolio backtests.

What I do not understand is how/why on a one stock backtest,i.e SPY,the max trade drawdown % is vastly different than the max system drawdown %.

Shouldnt they be the exact same for a 1 stock buy and hold that only had 1 trade??

thanks,

Allan



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2021-05-05 14:31:34

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If you set the number of position to say 2 then the system will invest only 50% of the money in SPY and the max trade drawdown will be double of that the system drawdown %


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