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Update to my prior post. I adjusted my stretch for Setup #2 from 0.75 to 1.0. The MAR ratio lifted from 1.51 to 2.45. The combination of all 3 setups together saw a slight reduction in maxDD but pushed the MAR from 2.76 to 2.91. You can see the difference with this underwater chart.
My MOC is made up of 3 setups. Yesterday I stripped each out separately and looked at the drawdowns of each and also combined. The chart below is a little hard to decipher, but Series 1, 2 and 3 are the individual setups and Series 4 is the combined. What is obvious is that setup #2 tends to have larger drawdowns and slower recovery rates. It has the highest CAGR of the 3, but also the worst drawdown and the lowest MAR.
I might spend today optimising the position sizing.
Another interesting fact that may appeal to others, is the combination of all setups have a higher MAR than each individually.
Setup #1 = 1.60
Setup #2 = 1.51
Setup #3 = 1.65
Combined = 2.76
Just ran the backtest back to 1990 for the MOC system. Current maxDD been seen several times, mainly in the Asian Currency Crisis of the late 90’s
27 Oct 1997 – single day was -51% (fuck me) but recovered immediately on the following day
31 Aug 1998 – 3 days to -52% but recovered 13 Jan 1999, about 4.5 months
19 Apr 1999 – single day was -45.8% but recovered 5 Aug 1999, about 3.5 months
