Rumery & Lehman (Ryan Jones) "money management"

[janitor@xxxxxxxxxxxx (Mark Johnson)]

I never cared for the expression "money management", it
seems far too grandiose and all-encompassing.  I prefer
"betsize selection" or "position size calculation" since
that is in fact what one is doing.

For those wanting to learn about Rumery & Lehman's
approach "on the cheap", i.e. without paying full price
for the actual software and manuals, these alternatives
may partially satisfy your curiosity:
 (1) Obtain the May 1998 issue of Ruggerio and Associates'
     newsletter "Inside Advantage" (1-800-211-9785).  It
     contains an article by Ryan Jones of Rumery & Lehman
     which covers one half of the R&L approach, computing
     position size based on the present number of dollars
     (equity) in the account.  The other half of the approach,
     calculating position size based on recent HISTORY of
     account equity, is omitted.  Honestly I don't know
     whether the publisher of this newsletter will sell
     single issues or not.  If you call to ask, be nice :-)
 (2) Purchase the $69 videocassette of Jones' talk at a
     Futures magazine conference.  Presumably Futures mag
     will sell it to you.  I haven't viewed this video
     so can't tell you what it contains.
 (3) Find a trader who is willing to sell her backissues
     of R&L's newsletter "Kamikaze Trading Newsletter",
     especially those issues (Aug-Nov 1995) which
     disclose the complete R&L algorithm.

R&L's presentation is a little unusual in that it delivers
a function f which computes (account equity) when given
(number of contracts to trade):

     (account equity)  =  f(number of contracts to trade)

But some people find this hard to think about, they feel
"it's backwards".  The far more common method of presentation,
used e.g. by Ralph Vince and others, is to deliver a different
function, g, which computes (number of contracts to trade)
when given (account equity):

     (number of contracts to trade)  =  g(account equity)


Jones has you construct a two column table.  One column
is the number of contracts to trade, and the other column
is the account equity.  (Clearly you can use either f or g
to construct this table).  Once the table is built, it's
an easy matter to look up your present account equity
and see how many contracts you're allowed to trade.

For those who aren't scared of 8th grade algebra, read
the Inside Advantage article and write out the formulae.
After a couple lines of simple manipulation, you will see
that the function f is a quadratic polynomial (having
three coefficients which are adjustable parameters of the
algorithm).  Therefore the function g is nothing other
than "the quadratic formula", i.e. the general solution
to all quadratics:

   solution = (-b +/- sqrt(b*b - 4*a*c) / 2*a

where a, b, and c are the coefficients of the quadratic.
Just like you learned in Algebra class when you were
fourteen years old.  Here's one more reason to be
glad you studied.

Of course this doesn't treat position size as a
function of EQUITY HISTORY.  Probably there weren't
enough pages available in _Inside_Advantage_ to
cover both halves of the approach.


In message <35A29ADC.DED7267C@xxxxxxxxxx>,
vano@xxxxxxxxxx  (Van) writes:
 >
 >
 >I am look for information on Ryan Jones Money Management
 >techniques.  Has anyone tried them?  Has anyone got his
 >$1600 software?  I would like to put them on a spread
 >sheet and compare it with the Kelly method.
 >
--
   Mark Johnson     Silicon Valley, California     mark@xxxxxxxxxxxx

   "... The world will little note, nor long remember, what is said
    here today..."   -Abraham Lincoln, "The Gettysburg Address"