Drawdown Analysis
Depth | Length | Peak | Valley | Recovery |
-5.7 | 4 | Aug-01 | Sep-01 | Dec-01 |
-19.7 | 9 | May-02 | Aug-02 | Feb-03 |
-2.6 | N/A | Feb-03 | Mar-03 | N/A |
The tests ended in March 2003 and all open positions were closed by the end of April 2003. In the summer 2004, the strategy became fully automated and was added to the trading portfolio of the Iris Group.