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Pierre... How are you determining the "A" (size of account) in ROA? In other
words, 200 -300% of what? Margin size? Max draw? Max draw + Margin? Max draw
+ Margin + x -- to keep max draw less than "x" percent? Something else???
----- Original Message -----
From: "Pierre Orphelin" <sirtrade@xxxxxxxxxx>
To: "OMEGA LIST" <omega-list@xxxxxxxxxx>
Sent: Sunday, December 15, 2002 3:45 PM
Subject: RE: Limited life span of mechanical systems?
>
> Just to let you know, it's easy to get 200 -300% yearly ROA on intraday
index
> futures ( out of sample, of course).
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