Drawdown is a bastard!
The April trading competition is getting close to completion and I’m more than likely going to miss out on a top 5 place. I was hoping to be somewhere near the top 5, though I can’t say I’m disappointed. During the 2 weeks of this competition I’ve had reasonable returns of about 2-3% (I think pretty good for a 2 week period), if I was able to keep that up it’d be around 50-70% return for a year, not bad when we get paid only a few percent for keeping our money in the bank.. that is if we’re lucky and the greedy bastards give anything interest at all (*cough cough* WESTPAC).
What has surprised me is seeing the drawdown and just how much it is just through normal holding of positions. Case in point I had a short position on the USDCAD yesterday and today which pushed my returns up close to 3% at the update (2pm Sydney time) yesterday, then today there was a bit of a pullback (still downtrend) and now my drawdown has jumped out to 0.77!
I shut that one down for a very small profit (right at the top of the pullback, isn’t it always like that?) as being this close to the end of the competition I didn’t want to wipe out my returns (very bad discipline!). I’ve put on 3 small ones for the drop back down and it’s got me back around the 3% mark.
I don’t normally calculate maximum drawdown on open positions, though I think that perhaps I should have a think about it. Trading in a 24 hour market, I’m not 100% convinced that calculating the maximum drawdown at a fixed time each day is the best way, I’ll possibly look at averages, or just take it at the end of each trading week.
Current Results are below
| Display Name | Number of Trades | Volume of Trades (USD) | Maximum Drawdown | Sharpe Ratio | Portfolio Return (%) | Nick | 14 | 1,784,996 | -17.99 | 0.24 | 26.93 |
| RotcaX | 17 | 321,100 | -4.20 | 0.39 | 16.79 |
| Dumb Luck | 78 | 345,455,896 | -17.20 | 0.15 | 9.66 |
| show me the money | 77 | 13,872,545 | -6.13 | 0.12 | 5.68 |
| Reno | 6 | 80,317 | -6.15 | 0.10 | 5.51 |
| Black day | 5 | 4,588,399 | -23.28 | 0.02 | 3.08 |
| Milton | 23 | 261,810 | -0.77 | 0.37 | 2.62 |
| Random | 33 | 2,174,945 | -4.89 | 0.10 | 2.61 |
| Netman | 42 | 9,815,000 | -0.52 | 0.19 | 1.77 |
| MartinFXUY | 3 | 36,591 | -14.28 | 0.00 | 0.33 |
| jstirrell | 0 | 0 | 0.00 | 334.97 | 0.16 |
| sagitarius_d | 0 | 0 | 0.00 | 334.77 | 0.16 |
| Iman_Valas | 0 | 0 | 0.00 | 313.17 | 0.16 |
| lholcomb8652 | 0 | 0 | 0.00 | 330.89 | 0.16 |
| Frank Gamwell | 13 | 4,546,032 | -4.28 | -0.06 | -1.26 |
| Cecil Riddle | 20 | 28,893,521 | -2.10 | -0.18 | -2.26 |
| beforex | 98 | 15,073,658 | -1.64 | -0.32 | -2.30 |
| QLaun | 224 | 25,853,184 | -34.33 | 0.02 | -5.17 |
| Rich | 39 | 987,891 | -4.40 | -0.59 | -8.38 |
| ohyewkidd | 75 | 28,464,301 | -7.18 | -0.66 | -15.27 |
| David | 23 | 314,418 | -20.96 | -0.18 | -18.77 |
| fxtrader | 50 | 63,576,529 | -18.96 | -0.41 | -22.43 |
| JCLsFX | 35 | 53,455,760 | -22.86 | -0.60 | -43.80 |