Max Drawdown less than 15%

[Mark Vincent]

Has anyone been able to create the Max Drawdown less than 15%?

I added all the systems below set the optimizer to SR and use the top n ETF=3

Bond ETF Rotation Strategy (BRS) (0% to 100%)
BUG Permanent Portfolio Strategy (BUG) (0% to 100%)
World Top 4 Strategy (WTOP4) (0% to 100%)
Global Sector Rotation Strategy (GSRS) (0% to 100%)
Global Market Rotation Strategy (GMRS) (0% to 100%)
Maximum Yield Strategy (MYRS) (0% to 100%)
NASDAQ 100 Strategy (NAS100) (0% to 100%)
Leveraged Gold-Currency Strategy (GLD-USD) (0% to 100%)
US Sector Rotation Strategy (USSECT) (0% to 100%)
Leveraged Universal Investment Strategy (UISx3) (0% to 100%)
US Market Strategy (USMarket) (0% to 100%)
Dow 30 Strategy (DOW30) (0% to 100%)
Universal Investment Strategy (UIS) (0% to 100%)

Cheers,
Mark V.

[Bill Sadek]

There is one right here: https://logical-invest.com/app/portfolio/dd10/max-drawdown-less-than-10

Bill

[Mark Vincent]

Sorry I meant in Quant Trader. What are the optimizer settings? I’ve tried SR and SRRP and nothing works.

[Vangelis]

Hi Mark,

The Max DD 15% is optimized outside QuantTrader using standard optimization techniques, https://logical-invest.com/app/portfolio_optimizer
The settings are to maximize CAGR given a maxDD constrain choosing from any of our the strategies (no % limit on allocations).
If you wanted to create something closer to this in QT, you would use the SR algo, quarterly rebalance, a long lookback period (5 years +) and a volatility attenuator that historically keeps MaxDD under 15%.

[Author]

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