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by dbs
729 days ago
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No matter how you minimize drawdown from a backward perspective, there is a reasonable chance there will be an event in the future where you will have a 50pct drawdown. Many of these strategies stopped working in 2008 because the markets became too crowded with players exploring them. Especially the ones that have low drawdowns attract a lot of competition. The writing was already in the wall with the quant bloodbath of 2007. |
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