Skip to content

3 Comments

  1. Tomaz
    September 29, 2019 @ 4:43 pm

    Hi Spintwig. Again thanks for all those backtests, they are really helpful. I have one question. Is it possible to see drawdown for those strategies? Volatility is one thing which helps a lot and sharpe gives you somehow a look at how this strategy performs, but max drawdown for short SPY put for example would be helpful. My line of thinking is that you can lever up short 10 or short 16 delta put and still get lower volatility and lower drawdown with returns similar to SPY.. But without knowing drawdown figures it is hard to judge just how much leverage would still be ok to stay for example below 30 % drawdown.. This number is mostly mention as max most investors can still stomach before panicking. Because there are A LOT of trend following strategies with great returns in the line of 20 % CAGR, but as soon as you see max DD of 70 % for a strategy like that, not a lot of people would stick with it starting with 1 MIO at worst possible time and still sticking with it on 300k and sitting on 700k loss..

    thanks for reply

    Reply

    • spintwig.com
      October 4, 2019 @ 2:30 am

      Great question. That’s something I can certainly look into. No promises on timing… 🙂

      Reply

    • spintwig.com
      October 6, 2019 @ 11:49 am

      Confirmed: max drawdown % and drawdown days will be included in the leveraged studies. More info on leveraged studies to be announced in the coming days.

      Reply

Leave a Reply

Your email address will not be published. Required fields are marked *


This site uses Akismet to reduce spam. Learn how your comment data is processed.