[amibroker] Re: Drawdown increases as square root of holding period

["Paolo Cavatore" <pcavatore@xxxxxxxxx>]

Hi Howard,

thanks for your reply.

Page291 is were I saw that statement which is followed by a well 
documented empirical evidence on NASDAQ and NYSE stocks from 1990 to 
2006. btw I was referring to a more theoretic demonstration of that. 
I could then expect it to be true even with other 
samples/data/periods/markets. I can't see the reason why it should be 
true.

Anyway I agree doing my own exploration is a good solution.

thanks for that,

p

--- In amibroker@xxxxxxxxxxxxxxx, "Howard B" <howardbandy@xxx> wrote:
>
> Hi Paolo --
> 
> You have a copy of Quantitative Trading Systems.  Read the text 
starting on
> Page 291.
> 
> Or --- Select a watchlist and do the research on issues that you are
> interested in.
> 
> Thanks,
> Howard
> 
> 
> 
> On Tue, Nov 4, 2008 at 11:12 AM, Paolo Cavatore <pcavatore@xxx> 
wrote:
> 
> >   I've seen a statement saying that "Drawdown increases as square 
root of
> > holding period" by Howard Bandy.
> >
> > Anyone has a demonstration of this...maybe Howard himself?
> >
> > thanks for any hints,
> >
> > paolo
> >
> >  
> >
>



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