Search found 5 matches
- Fri Apr 23, 2004 8:26 am
- Forum: Testing and Simulation
- Topic: By What Measure? - How do You Know if a System is Good?
- Replies: 84
- Views: 103371
Re: By What Measure? - How do You Know if a System is Good?
- Drawdowns < 50% - MAR Ratio > 1.2 - Returns > 35% for futures, 20% unleveraged stocks - Drawdowns < 40% - MAR Ratio > 2.0 - Returns > 50% for futures, 30% unleveraged stocks This would be tested over 20 years using the same system parameters for each year and each market. - Forum Mgmnt A good sys...
- Fri Apr 02, 2004 1:01 am
- Forum: Money Management
- Topic: What % equity to risk on high expectation trades?
- Replies: 7
- Views: 8029
if i am going on my own, i can handle a 40% drawdown, so i would take about 3.5% per transaction. if i am managing client money, a lot of investors who want really high returns start getting nervous in the 30% range. after several thousand runs, there is a tiny % chance that we will experience a 10...
- Thu Apr 01, 2004 7:09 am
- Forum: Money Management
- Topic: What % equity to risk on high expectation trades?
- Replies: 7
- Views: 8029
- Tue Mar 30, 2004 12:03 pm
- Forum: Money Management
- Topic: Thoughts on entry price, and open vs closed equity
- Replies: 9
- Views: 10482
Thoughts on entry price, and open vs closed equity
Consider the following two traders: Joe Trader has 100k closed equity His identical twin Jack trader has 80k closed equity and a position in commodity X, showing 20k open equity. They thus have identical total equity. Now, assuming Joe and Jack have identical risk tolerance, net worth, performance g...
- Tue Mar 30, 2004 10:39 am
- Forum: Money Management
- Topic: What % equity to risk on high expectation trades?
- Replies: 7
- Views: 8029
What % equity to risk on high expectation trades?
What % of your net worth (not account equity) would you risk if presented with the following hypothetical trade opportunity: Reward to risk ratio: 5 to 1 Probability of profit: 75% Assume the market will not gap beyond your stop, and that you either take the full profit, or get stopped out for the f...