| Total 2X compound Return: | 9979.74% |
| MaxDD: | -22.67% |
I notice there is a large drawdown during the period 2009-2010. I've figured the reason causing this drawdown out, and find the way to prevent it happening again in the future. But since out-of-sample simulations are based on the forecasts generated by learning historical data, if the similar things never happened in the history, then the systems based on learning the historical data can't avoid unless we trade less aggressive and use some extra-hedging strategies to balance it.
So I think that I should accept this drawdown. As drawdowns are nature part of trading, every trader should be able to accept it. And what I want to say is that systematic trading is about dealing with the uncertainty of market movements. Although the similar patterns show on the markets over and over again, the uncertainty always exists. The history teaches us how to deal with the similar situations happening in the future but it can't tell us everything happening in the future.
Also this research reminds me one of Ludwig Wittgenstein's quotes "The world is the totality of facts, not of things."
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