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Sean, here's a report FYI:
Part I is essentially a repeat of the info in
Tharp's book which lays the foundation for the second part. Part II has
some interesting and inspirational ideas (in the order listed):0) do
statistical measures on your trading style/systems (%wins, $win/$loss ratio),
and choose those systems (or system combinations) with high-expectancy and/or
high reward/risk ratios,1) define your 'portfolio heat' and use the
80%*Kelly formula to define max portfolio risk,2) use the 'grouping' model
(diversification) to define max risk per position,3) place emphasis on the
'volatility risk' model, but use the 'percent risk' model for further
conservative constraint, to determine position size for each
position,and,4) evaluate total account value and positions on a daily
(or more suitable periodic) basis, recalculate appropriate position sizes, and
place trading orders accordingly.It seems that this scenario of
alternatives, if applied consistently, should yield pretty phenomenal results
over a decent period of time, far better than most scenarios that the majority
of traders/investors employ.
The key to the whole thing is determined by the measurements in
step '0', and the measure of 'volatility' in step '3' --- these are
crucial. Everything else is just plain simple math and one's max level of
(model) risk selected for emotional comfort. Gene
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----- Original Message -----
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From:
Sean
Taylor
To: <A title=metastock@xxxxxxxxxxxxx
href="mailto:metastock@xxxxxxxxxxxxx";>Metastock List
Sent: Friday, November 16, 2001 11:03
PM
Subject: Tharp's Special Report on Money
Management
Has anybody read "Tharp's Special Report on Money
Management"?See website:<A
href="http://www.iitm.com/books/rptmm.htm";>http://www.iitm.com/books/rptmm.htmIt
claims to include 27 position sizing methods. I've read his 1st
book,Trade your way to financial freedom (after recommendations on this
list). Ithink it's brilliant.I wondered whether this 'special
report' provided greater depth to positionsizing for various
circumstances.Thanks,Sean
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