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In short, what I am saying is:
Vince claims that, with MM we can make any system, that has a
positive expectancy, even better (where goodness is the geometric
mean OR PA%) - he does bring risk into the equation later, although a
lot of lay people don't seem to understand that.
I am investigating what we should focus on, and what tools we can use
to get a higher expectancy (geomean) at the front end (system design
stage) before we move over to MM with Vince and others.
I am also looking for ways to measure the risk, at the front end, and
trace how OR if, that flows into the backend (equity curve analysis).
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> What I am doing is using simplistic coin toss simulations to
> investigate the 'real' behaviour of no win, breakeven systems (the
> null hypothesis) and how some of the evaluation metrics pan out on
> that data (which has known W/L and expectancy metrics).
>
> In short I am investigating the strengths/weaknesses of some of the
> metrics and also the alternative to doing all of the evaluation at
> the backend (equity curve analysis).
>
> The way that the rootcause metrics work is independent of money
> management.
>
> For MM I am deferring to optimalF, for the moment, and Vince's work
> in general.
>
> OptimalF shows us the point where we can run,if we want to maximise
> returns, and also the risk that goes with that - many of us don't
> want to assume that risk but it is good to know where we are on the
> sliding scale.
>
> I have an Excel sheet, that demonstrates the starting point for
root
> cause analysis, almost ready to roll - it is a lot easier to
> discuss/explain/learn when we have some visual/tactile aids.
>
> It is almost ready to post.
>
> Since I am working 'live' I am thinking about posting the draft as
it
> progresses - like the chapter of an online book - people can follow
> as I correct errors, extend the post, cut and paste paragraphs etc.
>
> Having some trouble uploading to the UKB at the moment - as soon as
I
> sort that out I will upload and you will have some copy to bounce
off
> to get your ball rolling.
>
> brian_z
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "gerryjoz" <geraldj@> wrote:
> >
> > Hi Brian,
> >
> > a comment on the coin toss equity curve note you penned. I am
> guessing
> > if you play with position size in your simulation, you effectively
> > have contemporaneous curves which you would then sum. Then the
> curves
> > won't fan out so much.
> > More accurately, in some periods you toss a coin and others you
> don't,
> > you are either in the market or not on a postion size for separate
> > streams. Better still, you have n positions with a final
expectancy
> > for each with a empirical distribution of the number of bars over
> > which you hold the stock, and then you add the result.
> >
> > In any case, you finish with an argument for smaller position
sizes
> > and positive expectancy.
> > Still thinking about your earlier post.
> >
> > regards
> > Gerry
> >
>
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