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> -----Message d'origine-----
> De : Ray Gurke [mailto:ray@xxxxxxxxx]
> Envoyé : lundi 16 décembre 2002 04:17
> À : OMEGA LIST
> Objet : Re: Limited life span of mechanical systems?
>
>
> 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???
>
Usually, I consider A= Margin + 2* UMDD updated according to the price level
where it occured.
UMDD = updated max drawdown = MaxIDD updated as a proportional value based on
current price.
In fact when using classical MIDD, this yied to unrealistic results ( a 100
point DD that occured when the price was 1000 should not have the same value
when the price was 500).
Otherwise, I use A= Deposit + max DD for classical benchmark
The 200- 300 % yearly was only an order of magnitude.
It depens of the time frame, future traded and so on.
Just lets say that it is a range value that commonly appears on valid systems
during the last 6 years.
Sincerely,
Pierre Orphelin
www.sirtrade.com
Tradestation 2000i, TradeStation 6 sales and support
Safir-X, neurofuzzy logic trading system builder
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