02/17 13:01 - Performance report analysis on mini-silver YI part 4

Today we see again the report analysis on mini-silver (YI) and we get a focus on drawdown. Differences between intraday drawdown and close-to-close drawdown ...

Performance report analysis on mini-silver YI part 4

Today we see again the report analysis on mini-silver (YI) and we get a focus on drawdown. Differences between intraday drawdown and close-to-close drawdown ...
Drawdown is the maximum negative losses excursion, measured as difference between two consecutives peaks (both max and min) in the equity line. The drawdown answers to question: "which is the maximum historical loss of this system?"
Drawdown is a value very important because we can measure the ipothetical risk about a system. Often the trading platforms divide drawdown in severals category. Below you can see an example:

  • Max Drawdown (Intra-day Peak to Valley)
  • Max Drawdown (Trade Close to Trade Close)

The first is the most important because it evaluates the intra-trade drawdown and it shows us the real movements during the trade. The second shows us the drawdown at closed positions.

Below you can see our opened positions on basis portfolio:

The signals of the day are:

Signals

  • Buy 1 @AD @ 1.0181 Stop Market
    5/7/2012 9:16:29 AM
  • Buy to Cover 1 @AD @ 1.0181 Stop Market
    5/7/2012 9:16:29 AM
  • Buy to Cover 1 @AD @ 0.9974 Limit
    5/7/2012 9:16:29 AM
  • Buy to Cover 1 @QM @ 108.125 Stop Market
    4/28/2012 2:45:48 AM
  • Buy to Cover 1 @QM @ 100.050 Limit
    4/28/2012 2:45:48 AM
  • Buy 1 @E7 @ 1.3397 Stop Market
    4/28/2012 2:46:09 AM
  • Sell Short 1 @E7 @ 1.3115 Stop Market
    4/28/2012 2:46:09 AM
  • Sell 1 @AD @ 1.0595 Limit
    4/28/2012 2:46:39 AM
  • Sell 1 @AD @ 1.0295 Stop Market
    4/28/2012 2:46:39 AM
  • Sell Short 1 @AD @ 1.0295 Stop Market
    4/28/2012 2:46:39 AM
  • Sell Short 1 @YI @ 30.551 Stop Market
    4/28/2012 8:56:59 AM
  • Buy 1 @E7 @ 1.3320 Stop Market
    4/27/2012 8:38:49 AM
  • Sell Short 1 @E7 @ 1.3134 Stop Market
    4/27/2012 8:38:49 AM
  • Sell 1 @AD @ 1.0587 Limit
    4/27/2012 8:39:13 AM
  • Sell Short 1 @AD @ 1.0249 Stop Market
    4/27/2012 8:39:13 AM
  • Sell 1 @AD @ 1.0249 Stop Market
    4/27/2012 8:39:13 AM
  • Sell Short 1 @YI @ 30.241 Stop Market
    4/27/2012 8:39:14 AM
  • Buy to Cover 1 @YI @ 31.672 Stop Market
    4/24/2012 11:08:34 AM
  • Buy to Cover 1 @YI @ 28.380 Limit
    4/24/2012 11:08:34 AM
  • Buy to Cover 1 @YI @ 28.503 Limit
    4/25/2012 9:03:30 AM
  • Buy to Cover 1 @YI @ 31.141 Stop Market
    4/26/2012 8:47:46 AM
  • Buy to Cover 1 @YI @ 28.293 Limit
    4/26/2012 8:47:46 AM
  • Buy to Cover 1 @QM @ 108.80 Stop Market
    4/23/2012 12:07:31 PM
  • Buy to Cover 1 @QM @ 98.78 Limit
    4/23/2012 12:07:31 PM
  • Buy to Cover 1 @YI @ 31.67 Stop Market
    4/23/2012 12:07:59 PM
  • Buy to Cover 1 @YI @ 28.56 Limit
    4/23/2012 12:07:59 PM
  • Sell Short 1 @YI @ 31.105 Stop Market
    4/21/2012 8:46:28 AM
  • Buy to Cover 1 @QM @ 110.68 Stop Market
    4/19/2012 3:37:14 PM
  • Buy to Cover 1 @QM @ 98.40 Limit
    4/19/2012 3:37:14 PM
  • Sell 1 @AD @ 1.06 Limit
    4/19/2012 3:37:26 PM