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I think the problem with maximizing TWR/dd is that the f value which
maximizes this approaches the optimal f as the number of HPRs
increases...Ralph
btw, I often use this so-called secure f, which is just another value
for f "left" of optimal f, but I do it for more than 1 market system,
andf I make the rather conservative (pessimistic) albeit realistic
assumption that the correlations of all market systems reduce to
+1........maybe I'm just afraid of the universe being perversely
oriented against me!
---cb <cpbow@xxxxxxxxxxxxx> wrote:
>
> I just went to a mini-seminar by Rina Systems on Sat. As i
understand
> it, secure f is the highest f that does not violate the constraint:
>
> Drawdown < Drawdown(max)
>
> where DD max is the max acceptable drawdown, which you input.
>
> I suggested to them that they might want to also find the f that gives
> you the highest TWR/dd (i.e., profits/drawdown); this would take dd
> into account but not require an arbitrary input.
>
>
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