Xiaolun

It is a good idea to have a backtest system that contains reusable code to backtest your strategies. 

I intend to regularly post notes and comments to Rob Carver's new blog posts. The purpose of this exercise is to get an easy-to-read table of contents of the studies Rob ran, as well as to force myself to regularly catch up with his work.  Does it make sense to change your trading behaviour in different periods of volatility? Conclusion: yes - but as volatility gets higher, faster trading rules do relatively badly, but actually the bigger story is that all momentum rules suffer. Using maximum drawdowns to set capital sizing - not as bad as I first thought Rob usually measures risk using annualized daily standard deviation of returns , and thinks that ATR is a good approximation as well Rob has strong opinion on how to calculate MDD.  Suppose you start with £10,000; but then you lose 1% of your capital for the next ten days. So what's your maximum drawdown? Is it 10% or 9.6%? His preferred way of calculating is simply adding up the ten of 1%. Note that this could be over 100% i...