Ok, if you forward trade a system and you come to a point where your system underperforms, and falls below the minimum ranges obtained from montecarlo analysis of the same system during historical backtesting.
What do you do?
For the purposes of this thread, lets say your system is robust and optimised (not overoptimised ).
Say, if you worked out from backtesting that you could have 18 losses in a row, and you've just suffered your 19th?
So you exit the system and go back to the drawing board (because you are trading "blind" and that your system is not tradeable because market conditions have changed??
Or do you keep going?
How about in terms of drawdowns?
If maxDD is supposed to be 31% but now it just became a touch higher?
In Way of the Turtle, Curtis Faith says that he was trading a $20million account, and overnight after the October 1987 crash, he lost $11million?
He did not mention changing the system after this event.
Surely Richard Dennis wouldnt have anticipated a drop of this magnitude through backtesting and his previous years of trading??
Any discussion and feedback would be seriously appreciated.