Search found 62 matches

by drm7
Mon Apr 21, 2003 11:22 pm
Forum: Testing and Simulation
Topic: Portfolio Selection
Replies: 57
Views: 52173

Portfolio Selection - Small (<50k) Trader

I apologize in advance if this question/comment seems a little "tactical." I have some possible alternatives for people (like me :wink: ) with small accounts. I do agree that it is difficult to deal with the large amount of risk that an average futures contract exposes a small trader to - a T-note c...
by drm7
Mon Apr 21, 2003 1:17 pm
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 83
Views: 75099

Follow up to c.f. - Expected Performance

Your "minimum" performance criteria seem very ambitious to somebody from the outside looking in. 50% annual returns (even with a 35% drawdown) would blow away even legendary CTAs and hedge funds. -John Henry has had about a 20-25% annual return with a 45% max drawdown -William Eckhardt has a 25-30% ...