[kqr]

> To make money

Strategies that result in 95 % drawdowns are not in the "making you money" bucket.

Since growth is compounding[1], the most important property of a money-making strategy is to keep drawdowns at at optimal level. This optimal level is a thrill ride on its own, but 95 % is plain overbetting and will never make you money in the long run.

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[1]: If you draw down from 100 to 10, it takes as long to go back to 100 as it would have taken to go to 800 had you only drawn to 80.

[doovd]

> Strategies that result in 95 % drawdowns are not in the "making you money" bucket.

As long as you're betting with +ev after fees are taken into account then they certainly can make you money. Low sharpe / high vol != unprofitable.

[kqr]

This is correct only if you look at single bets in isolation, or at bets small enough that you can actually make so many of them you get the EV in the end.

Once you look at a long sequence of large bets (where 95 % drawdown absolutely indicates a large bet), you'll find that those where big drawdown can happen grow slower because a big drawdown simply sets you back too far. It's worth earning a little less for each bet if none will cost you a huge loss.