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Re: "annualized volatility" in the Zorro performance report
[Re: hast29]
#479950
05/07/20 16:26
05/07/20 16:26
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Joined: Mar 2018
Posts: 62
hast29
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Hello Andrew, I meant trade returns. However, indeed the same parameter for equity balance would be also useful.
What am I trying to do: When you have your back tests done, your strategy is solid and you proceeed to live trading. I am talking about the tool, or rather calculated parameter „annualized volatility“, which suggests you a new "scaling" of your strategy before you switch to live trading in order to resist the psychological stress during drawdown period. Simplified simple example, Back test: trading capital 1000, risc per trade 0,5%, no reinvesting, max. drawdown 3000 USD, i.e. 30% of your capital - one should scale the risc per trade to 0,25 % in order to keep the "volatility" under 15% of your real capital. But this all needs to be somewhat "annualized", so there is indeed a public formula: standard deviation of daily returns x square rood (252) ..
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Re: "annualized volatility" in the Zorro performance report
[Re: hast29]
#479967
05/10/20 08:05
05/10/20 08:05
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Joined: Mar 2018
Posts: 62
hast29
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AndrewAMD, yes, that is what I need. Reading the manual, I have also modified the scripts now by using the "Capital" variable, and used the Annual growth rate, instead of AR. This way the volatility is related to my initially invested capital - which is my "psycho" reference. Thank you for your advice !!
Actually, by reading the manual, there is a possibility to implement a "Cold Blood index" into the scripts. If the CBI is in the range, one does not have to worry about the drawdown during live trading. I assume, this should be my future approach to handle the trading psychology ?
I am sorry for posting this in the wrong forum section, I intended to suggest a new performance indicator. Zorro is a great tool, amazing what it can already do ...
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