My MAX DD is 10%, but since past 7yrs every year my system has faced a DD of 9-10% is it normal or a bad thing?
My every years drawdown is almost equal to max drawdown
Yeah its fine, depends on system and market env too. There might be more variation if no of trades are lower. I am also hitting and overshooting vs backtest in my systems every year.
DD is just a rough estimation with smaller sample of trades, In future it will likely exceed it as well. Once in a while a very bad market for the system can happen too and that might overshoot past DD by quite a bit.
There is also over optimization risk in our backtests where we can fit to the data to improve performance in the worst phases and that may not hold in future. I use thumbrule that 2x past DD should be bearable - at single system and portfolio level.
1 Like
Mentioning of DD draws you out wherever you are, even space 
That is good consistency.
Now that we know what is the max DD, how about the MAX upside?
There is no max up, it is infinite, to the moon we go 
No, in those 7 years what was the max upside YoY
I am assuming that he has not been trading for 7 years, but he has back tested his system for 7 years 