I have an algo that I custom wrote. I backtested it from 2003 through 2017 with these stats:
SPY benchmark returns -- 250%
my algo returns -- 500%
The weak stats is that beta is 0.7 and max drawdown is -50%. The big drawdown happened around 2008.
Is there a generalized way to avoid a big drawdown in a 2008 situation, or a way to reduce beta? This is probably really vague and doesn't have an answer, but thought I'd ask.
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