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In a message dated 07/13/2000 5:24:55 AM Eastern Daylight Time,
grt@xxxxxxxxxxxx writes:
<< << Frequency Distribution of Daily Portfolio Returns:
-3% or below, -3% to -2%,-2% to -1%. -1% to 0%, 0 to 1%, 1% to 2%, 2%
to 3 %, 3% and above.>>
I guess I'm at a loss here too. For instance, today our futures portfolio
is down 12.5% (based on initial margin). It was +3% on Monday, -3% on
Tuesday and -12.5% today. Now if you apply the gains and losses to the
total capital in our futures accounts, the numbers are +1%, -1% and -4.2%.
If we calculate these numbers in terms of our total investment capital, the
numbers are minuscule.
Answer: First I look a the variation relative to the portfolio, not to the
initial margin. The Frequency Distribution is interesting because I like to
see a nice bell curve with most of the fluctuation centered in the center. I
specially don't like to see the curve rising again at both end of the curve.
That's makes me feel unconfomtable.
<< Time in the market: >>
I'm not sure I understand this concept either. My take on this is that if
you spend less time in the market you have less risk since time spent out of
the market means you have no possibility of loss. You're rated higher
because of this even though you also have no possibility of gain. Using
this, I guess a trader would rank the highest if he never made a trade,
since he would never incur any risk.
>>
Answer: You are right: I would love a trader who is never in the market and
makes 30% a year. Seriously day trader are, in my scale the worst ranked
beacuse they are always in the market. If I have to choose between two
systemes that both give me a 30% return with equivalent drawdowns I will
choose the one that is less often in the market.
Jean Jacques
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