To imagine how it all works and visualize it on a graph, build the simplest model.
Divide the capital into three parts and buy the MICEX index on falls 10%, 20% And 30% from the peak. Set take profit for each subsystem 30%. We score for drawdowns, as long as the position is not closed, no losses — smart people say :)
With 2005 years to date for the fall buying subsystem 10% we have only three transactions:
For subsystem falling on 20% we have two deals:
And for the fall subsystem 30% we have 2 deals:
And the overall result, significantly inferior to the method 'bought and hold" (blue line – `` bought and hold '')
For ten years 7% per annum:
And 10-20-30% these are the optimal parameters. With other parameters, Sort of 20-40-60 it turns out even worse.
