MAXIMUM DRAWDOWN EXCEL HOW TO

Now we add an intraday profit target with no maximum stop loss but with the 5 day moving average.įor small percentage stop we see a large reduction in MDD, top 5 MDD and worst trades. Because these are intraday targets and I do not have intraday data, we cannot exit on our entry day. If you voted for this and you had something else in mind, comment below on what you wanted tested.

MAXIMUM DRAWDOWN EXCEL HOW TO

Unfortunately I was not clear on how to add these. The second most voted on research idea was profit targets. I like the ATR factor between 1 and 2 they seem to strike a good balance. Again we see big improvements in the worst 50 trades and worst 5 drawdowns. Adding the ATR max loss hurts with CAR or MDD. The stop is evaluated at the close and exited the next day at the open.Īgain we see the same general results. Next we look at using a factor of the 10 period ATR. Your top 5 drawdowns also improve for small stops. What is interesting the average loss of the 50 worst trades comes down significantly for small percentage stops. The stop is evaluated at the close and exited the next day at the open.Īdding a percent maximum stop loss does not really improve your maximum drawdown but hurts your compounded returns. Given the small change in the statistics, I would not expect much change from the Up Close exit in maximum stop loss helping. The exposure and avg %p/l increase significantly. First we need to see how the results change without stops.Ĭhanging the exit has minimal impact on CAR and MDD, which surprised me. The winning idea was changing the exit from an up close to a close above the 5 day moving average. Close is greater than the previous day’s close.Set a limit buy order for the next day if price falls another.This means orders will often not get filled even though lower ranked stocks may have Place orders for the top ranked stocks such that if they all get filled will be 100% invested.Rank stocks from high to low using 100 day Historical Volatility.21-day moving average of dollar-volume greater than $10 million.Close less than the 5-day moving average.

Close greater than 100-day moving average.At the end of the post I asked the readers to vote for what to try next. In the post, Maximum Loss Stops: Do you really need them?, we looked at how maximum loss stops changed the results of a mean reversion strategy.

Maximum drawdown excel