Research method
Drawdown limit
Drawdown limit is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Research filter
- Input
- Account equity, volatility, stop distance and exposure
- Horizon
- Before entry and throughout the position
- Best use
- Keep a loss or exposure decision bounded before a trade is placed.
- Input: Account equity, volatility, stop distance and exposure.
- Output: filter.
- Use boundary: Keep a loss or exposure decision bounded before a trade is placed.
The graph8
How the method is built, and where it has been read
Depends on
Often reviewed together
Mechanical trading system4 readings
Often reviewed together
Stop-loss order4 readings
Often reviewed together
Optimal f sizing4 readings
Often reviewed together
Leverage control4 readings
Often reviewed together
Diversification5 readings
Often reviewed together
Volatility position sizing6 readings
Often reviewed together
Trading psychology process7 readings
Often reviewed together
Risk of ruin9 readings
Read in the archive24 of 68 readings
1987Underwriting a seasonal livestock calendar spread1989Evaluate mechanical systems by peak-to-trough drawdown1990Score drawdown depth and duration as a pain budget1990Score a trade after allocation, diversification, and a drawdown limit1991Keep one risk ceiling after equity highs1991Ratchet the halt floor and stage exposure against cash1991Bound losses with MAE, stops, and drawdown limits1992Probability stops from winning-trade drawdowns1992Equity-curve average as a live-capital gate1993Portfolio heat, optimal f, and drawdown limits1994Monthly drawdown limits when cash competes with equity1994Set the portfolio risk budget before you size1994When standing puts fail the drawdown test1994Starting capital from worst-case portfolio walk-forwards1994Keep constant leverage left of the equity peak1995Intermediate-term allocation with drawdown filters1995Evaluate mechanical systems as a three-way fit test1996Grading track records by drawdown, expected value, and ruin1996Equity path filters for contract size and drawdown1997Evaluating managed futures as portfolio diversifiers1997Regime-aware allocation versus binary timing1997Limits as a single trading decision procedure1998Drawdown limits before a trend system is allowed to trade1998Hedge-fund sleeves under a hard drawdown limit
This registry entry describes a research method. It is not investment advice and does not make a performance claim.