Nick pointed out that the system is not in new territory by running some tests that I didn’t do when I designed it.
Oddly enough, the huge drawdown doesn’t really bother me as I am used to it and I have several other systems that have less intense drawdowns, so it all averages out.
Times like these are good for me because it forces me to take a hard look at my systems again and make sure they are performing in spec. It is easy to get complacent when things are screaming away to the upside.
Oddly enough, I did a backtest on my NDX aggressive strategy, the one that only runs 3 stocks, and it would be only at a 21% drawdown, not a 42% drawdown like the more conservative strategy is….lol. It just turns out that those 3 stocks are doing pretty well in this environment and the more conservative strategy picked some real losers. The NDX Aggressive though had max drawdowns of 55% which I don’t think I’d be comfortable with, considering the fact that a 42% drawdown makes me a little uncomfortable. I closed that system due to the potential of a large drawdown.
I have adjusted a few parameters on the momo system to bring it in line with a 30% drawdown, which I can easily handle. This comes at a cost of CAGR of course.
The MRV continues to disappoint, I am debating on shutting it down completely and moving to a MOC system. It has been 3 years and the MRV has barely squeaked out a profit, it would have been better just to throw my money into the S&P 500.
My options strategy to a decent loss today as the market took a massive plunge and even with 13 puts on the position, it didn’t cover as much as I would like. Luckily I had 5 extra puts from the previous win that I couldn’t sell which I was able to give back to prevent a larger loss.
