|
PureBytes Links
Trading Reference Links
|
Hello friends.
Some time ago I discussed a bit of study I was doing on modifying
Optimal f. I was grateful for the feedback I received and promised to
do some more tests and post the results eventually.
Well, I've done some tests, and have been asked to write further
(elsewhere) about it but for personal reasons, I declined to.
I noticed some work done by Sunny (is it Harris?) that was in a
similar vein and appeared to be very thorough. I thought that work
would satisfy most people's interest in the subject because, if I
recall correctly, Sunny's was calculating non-optimal f's based on
desired drawdowns. I thought that was pretty clever.
My work was another means of deriving non - optimal non-static f's
("fixed fractions" that weren't fixed at all) -- just one way of
implementing what Mr. Vince discussed briefly in the best book on the
subject, "Portfolio Management Formulas." That is, partitioning an
account into part cash to reduce the effective f.
I won't go into detail but I did want to relieve the "pregnant pause"
(pregnant for me,at least) and say that the new tests did increase the
TWR of the system over what Optimal f gave -- this I found a bit hard
to understand as it's not supposed to happen -- countless iterations
of the test repeated the outcome. I checked the work by hand and I
believe it is correct. It also made for a smoother equity curve.
I don't use optimized systems for testing, and I subtract for sizeable
overhead -- it's my way of keeping assumptions conservative.
The whole idea was to simulate the concept in order to get a sense of
the direction it would take if implemented. I don't hold out that
simulations are as good as reality but I do believe that, if carefully
done, they can help map out new territory.
Anyway, I'm not saying this will revolutionize trading. I only wanted
to follow up. I thought I'd post all sorts of fancy graphs and be
famous for a bit but....Sunny's graphs were more impressive anyway.
I'll just limit myself to these few comments.
Careful trading.
the other CW.
|