RE: [RT] Digest Number 1208

["M. Simms" <prosys@xxxxxxxxxxxxxxxx>]

Wow  - 
that's really interesting....can I ask you how you arrived at this allocation 
model ?
BTW: You had 
Abberation trading FULL-TIME in 10 different markets ALL YEAR 
?
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  <FONT face=Tahoma 
  size=2>-----Original Message-----From: profitok 
  [mailto:profitok@xxxxxxxxxxxxx]Sent: Wednesday, December 18, 2002 
  11:05 PMTo: realtraders@xxxxxxxxxxxxxxxSubject: Re: [RT] 
  Digest Number 1208
  At the end of each year,, here is what I do
  a:  take all the money out in excess of 2 times max 
  dd
  b: the most profitable system for the year  gets  
  to keep the excess,, and I increase the bet size
  c the least profitable one for the year  gets a 
  decrease  in bet size
  example
  Aberration  did  67000  on  40000  
  initial investment so far this year (11/30/02)
  max dd  was  27000trading 10 different  
  commodities
  so if it is the aver system out of the 3,, then  
  assuming the end year balance is   107000,, then I take out 107 
  minus  54  equals 53  net to me
  hope this helps
  Ben
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    ----- Original Message ----- 
    <DIV 
    style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From: 
    M. 
    Simms 
    To: <A 
    title=realtraders@xxxxxxxxxxxxxxx 
    href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxx 
    
    Sent: Wednesday, December 18, 2002 
    11:51 AM
    Subject: RE: [RT] Digest Number 
    1208
    
    Key issues 
    here are:
    1) what is 
    the OPTIMAL # of systems that should be traded to MINIMIZE dd or MAXIMIZE 
    sharpe ?
    2) what asset 
    allocation model should be used to determine the exact amount of capital to 
    be allocated to each system ?
    <FONT color=#0000ff 
    size=2> 
    <BLOCKQUOTE 
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      <FONT face=Tahoma 
      size=2>-----Original Message-----From: profitok 
      [mailto:profitok@xxxxxxxxxxxxx]Sent: Wednesday, December 18, 
      2002 11:02 AMTo: realtraders@xxxxxxxxxxxxxxxSubject: 
      Re: [RT] Digest Number 1208
      I have started with aberration over 5  years 
      ago
      with   mid size  amount of  
      contracts traded,  and still had large dd
      I still trade it but with  duel trust
      the combo DID decrease dd  by  15%  
      in  good year and 25%  in bad year
      then when adding a third mechanical system  ,, 
      dd  is REALLY  manageable
       
      Ben<A 
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