Re: [system-traders] Three Moving Averages

[Matthew Jurgens <mjurgens AT edcint.co.nz>]

Olf,

I'd like to get your opinion on how the buy and hold should be calculated. I've found that it seems to buy whenever your system buys (all the same buys as your system, including reinvests) but never sells. Then it calculates the return of each buy at the end date and adds all the returns up (in a weighted fashion I think).

Oliver Bossert wrote:

Hi,

  

1. What's the difference between the Net Gain and the Gross Gain. 
    

The fees.

  

2. Buy and Hold strategy figures don't look quite accurate but again I'm
not sure what they represent. It says there was a MaxDrawDown for B&H of
about 238% but I don't see anything that bad in the 5 years worth of
data I have.
    

IMHO the DD-calculations are wrong - for B&H as well as for the normal
strategy. Till now I didn't found the time to fix it. ;(

CU, Olf