https://financial-hacker.com/the-cold-blood-index/ A new view on algorithmic trading Wed, 23 Oct 2019 10:31:46 +0000 hourly 1 https://financial-hacker.com/the-cold-blood-index/#comment-62711 Wed, 23 Oct 2019 10:31:46 +0000 http://www.financial-hacker.com/?p=83#comment-62711 […] can see Johan’s blog post from 2015 for the original […]

]]> https://financial-hacker.com/the-cold-blood-index/#comment-39392 Tue, 28 Aug 2018 01:20:50 +0000 http://www.financial-hacker.com/?p=83#comment-39392 […] post builds on work done by jcl over at his blog, The Financial Hacker. He proposes the Cold Blood Index as a means of objectively deciding whether to continue trading a system through a drawdown. I was […]

]]> https://financial-hacker.com/the-cold-blood-index/#comment-7176 Mon, 05 Sep 2016 11:41:47 +0000 http://www.financial-hacker.com/?p=83#comment-7176 Amazing article, Thanks for sharing all these! 😀

]]> https://financial-hacker.com/the-cold-blood-index/#comment-1591 Fri, 03 Jun 2016 13:12:26 +0000 http://www.financial-hacker.com/?p=83#comment-1591 […] the system, and provide a method for comparing live results with backtest results, such as the Cold Blood Index. Make sure that you can supervise the system from whereever you are, for instance through an online […]

]]> https://financial-hacker.com/the-cold-blood-index/#comment-1545 Tue, 24 May 2016 15:34:32 +0000 http://www.financial-hacker.com/?p=83#comment-1545 Indirectly yes. The maximum drawdown is not only proportional to the annual gain, it is also proportional to the square root of time. Therefore you normally use a 3-years adjusted drawdown value. However this makes some assumptions. The square root adjustment is accurate only for a system with independent trade results and zero profit. Systems with a positive or negative profit expectancy have a slightly different and more complex drawdown growth formula. But the square root of time is always a good approximation.

]]> https://financial-hacker.com/the-cold-blood-index/#comment-1540 Mon, 23 May 2016 21:30:34 +0000 http://www.financial-hacker.com/?p=83#comment-1540 Does this statement require any conditions on the process of trade results? Eg. that they are mutually independent and equally distributed or even belong to some exact class (symmetric, gaussian)?

]]> https://financial-hacker.com/the-cold-blood-index/#comment-1536 Mon, 23 May 2016 07:14:30 +0000 http://www.financial-hacker.com/?p=83#comment-1536 Yes, the math is that both D and G are proportional to the traded volume, i.e. trade size and frequency. So D is always a percentage of G. This percentage is a performance measure, and its reciprocal is equivalent to the Calmar ratio.

]]> https://financial-hacker.com/the-cold-blood-index/#comment-1535 Mon, 23 May 2016 02:04:17 +0000 http://www.financial-hacker.com/?p=83#comment-1535 Please, could you explain why we compare the draw down value D with the strategy gain G? Do we suggest that since the strategy is able to give us a positive result of the size G then it also may potentially bring us a negative result of about the same size G? Isn’t it strange? Or is there some maths behind it?

]]> https://financial-hacker.com/the-cold-blood-index/#comment-626 Wed, 18 Nov 2015 09:28:08 +0000 http://www.financial-hacker.com/?p=83#comment-626 Glad to know I can add some value to the project.
I was thinking that as the “retrain” works while trading by clicking the trade button. The “retest” could be the same by clicking the test buttom. A balance curve of both the test and the demo/live trades could be plotted in the same graph

]]> https://financial-hacker.com/the-cold-blood-index/#comment-624 Tue, 17 Nov 2015 08:14:47 +0000 http://www.financial-hacker.com/?p=83#comment-624 I used a small script for that, but a dedicated button would be certainly easier for users. I’ll forward your suggestion to the Zorro developers.

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