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
> >
> >
> >
>