Benchmarking : What was the best "CAR/MDD" (after commissions) you've ever seen on a system back test report?

Benchmarking : What was the best "CAR/MDD" (after accounting for realist commissions) that you've ever seen on a system back test report? Generally speaking, what type of trading did it focus on?



That's funny. :smiley:

Because there are too many factors, like what time span you are looking at.
Besides the fact, when would you consider trading it? I think the longer one trades the less important it becomes, still it's a good number to look at.

MAR of 5.6
Annual Geometric Return of 238%
Max Draw 42%

Personally I like MAR "Like" metrics, at the same time taking into account returns. Gives a window on the kind of "Firepower" the system or concurrent systems have. Meaning how fast you can trade out of draw-downs.

That said, a savings account has an infinite MAR (not adjusted for inflation), but if something catastrophic happened to your account money, it might take a lifetime to get whole (out of the draw-down), if ever. Reason, there is no firepower et al.

The other thing I might add, is that due to martingale betting logic (Optimal F and Kelly "like") money management, the more conservative you become, draw-downs lesson linearly while Geometric Returns lesson non-linearly. Meanings unless you trade optimally, MAR like metrics will suffer and usually get reduce substantially.