I have a system I'm working on and in general I'm happy with the results, except for the drawdowns. The peak-valley drawdown is 25% (this is for the period 2003 - 2009), for 2003 - 2007 its 15%.
I have two questions I'm hoping some of you more experienced system designers could help me with..
1. Would you say that this level of drawdown is too high? (I know it depends on the individual's risk tolerance etc but in general?).
2. What I'm unsure of is what is the area of the system that I need to address in order to try and reduce the drawdown? ie, is it the exit? is it maybe my stoploss application? Changing my stop losses just seems to reduce the profitability and leave the drawdown unchanged. Is there anyway to reduce the drawdown or is it just an inherit part of my system and it'll be difficult to do with changing the overall system?
Any help would be appreciated.