In this, my final post in this series, I will take a final look at how the MultiStage Trading System holds up in Bear markets. In the last post we looked at drawdowns and recovery of the account during those ugly Black Swan events. The focus of this post is to take a more comprehensive look at drawdowns and their characteristics in Bull and Bear markets.
I won’t take a lot of time with snappy analysis, because quite frankly, the number don’t say much. The deepest drawdown was in a Bull market, but so was the shallowest. Probably the most telling statistic, especially since it encompasses ALL of the drawdowns, is the one labeled DD>10 days %.
This stat is showing what percentage of the drawdowns lasted more than 10 days. You will notice that the two smallest numbers fall in Bear markets. That is to say, there are fewer drawdowns in Bear markets that last more than 10 days. There is nothing special about 10 days, but it’s a metric I use simply because I don’t like long drawdowns.
All in all, however, I can’t see any dramatic difference between the characteristics of Bull or Bear market drawdowns for the system. The differences are subtle, and perhaps simply due to random variance.
If you’ve missed the previous posts, the general conclusion of all this has been that this volatility based system is more profitable during the Bear markets, which are generally more volatile. Further it is no more risky, as defined by these drawdown numbers, and in significant Black Swan events, appears to be even less risky by all measures.
Good Trading…
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