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Greetings -- do I call you Olli or Olli-Pekka?
Your response is welcome and thought provoking. I look forward to
having a few minutes myself when I can digest it and perhaps test it.
I have come up with a method for smoothing the Optimal f curve which
also reduces the overall profit -- a normal tradeoff, I thought -- but
the attachement you provided seems to indicate that I may have set my
sights too low.
Anyway, it is a bit difficult for me to describe but it is suitable
for a risk averse investor. Please refer to the "RE: Portfolio
Simulations using TS" reply I submitted a few moments ago for a
sketch...if you want details, email me and I will be happy to explain
(I am a bit pressed for time at the moment, please forgive me).
thanks for your input.
Sincerely,
Charles
---Olli-Pekka Myllynen <myllynen@xxxxxxx> wrote:
>
>
> I have been looking for something similar that you have come accross
now.
> When reading the first book of ralph Vince a coulple of years ago, I
goot
> quite enthusiastic, until I discovered the drawdowns, which to me
seemed to
> be worse in better trading systems than with those of having an
optimal-f
> value of less than, say, 0.6. (Cannot remember that excactly anymore).
>
> I'll attach a solution suggested by Mark Johnson on the list
sometime ago,
> which you might remember. I never quite got it coded (being a legal
counsel
> at the Finnish Pharmaceutical Industry Federation) because lack of
time. I
> have used a quite a simplistic approach of combining percentage
profitable
> trades and longer time volatility with success - eventhough the
outcome in
> real life has not been as good as optimal-f's would given that I
could have
> followed it through, which I doubt as a risk adverse investor.
>
> I would be glad to hear of the solution or model you have come
across, if
> it suits you.
> Nice trades,
>
> Olli-Pekka Myllynen
> myllynen@xxxxxxx
>
>
>
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