A Quant’s Approach to Drawdown:
The Cold Blood Index

In part 1 of this series, we talked about how a market-savvy systematic trader would approach a period of drawdown in a trading strategy. Specifically, they’d: do the best job possible of designing and building their trading strategy to be robust to a range of future market conditions chill out and let the strategy do …

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A Quant’s Approach to Drawdown: Part 1

Imagine you’ve tinkered for days or even weeks, perfecting a strategy idea that’s showing a whole lot of promise. You’ve meticulously tweaked a mouth-watering Sharpe Ratio out of your backtests….it even survived costs. YES! Systems go, let’s trade it. Imagine this new strategy enters a drawdown.…maybe a lengthy one….maybe from day one! How would you …

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