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At 3:41 PM -0400 7/31/98, CRLeBeau@xxxxxxx wrote:
>In a message dated 7/31/98 6:45:03 AM, bfulks@xxxxxxxxxxxx wrote:
><<If you define leverage as:
>Leverage = <Value of contract> / <Starting account size> - 1
>Don't like your formula. A contract of Eurodollars is worth a million $,
>much more the value of an S&P. Which contract has more risk? Seems to me
>that the formula should be based on volatility not size of contract. Even
>true in stocks.
I was not defining risk. I was defining leverage.
The objective is simply to derive the curve to see where the straight line
portion on the left side starts flattening out.
I am not familiar with the Eurodollars market. With your system it might
start flattening out at a leverage of 50 or 100. Doesn't matter. We just
need to stay to the left of that point.
Bob Fulks
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