[kimchi]

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Tthe worst (peak to trough) drawdown was during the summer sell-off of 2005 though as I was fully invested in Latin, general emerging, and asia stocks at the time. I have since reduced the size of each position and increased the number of positions to add some more diversity at the expense of a reduced return.



first off, working backwards, the system may not (probably not given above) take into account volatilities and correlations of markets. the reason i say this is because a huge portion of your system shouldn't be in markets that are both a) highly volatile, and b) highly correlated to each other and the global economy.


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I monitor the volatilities of the markets i swing trade daily and I also keep tabs on correlation to prevent me from concentrating risk.

My long-term trading is very limited though, because of tax and regulations. I can't properly position size, go short, or diversify sufficiently because of these limitations. For example, this year (and for a couple of years) I've been heavily invested in China & Asia, India, Europe, Latin America, UK gilts, and resources. It sounds like a who's who of outperforming investments (except for the gilts), but there's been some really heart-stopping moments.

This money is becoming an increasingly large portion of my overall portfolio/account, so when the next trading signal shows, I'll have to move some money out of this system and into my buy & hold account.