Which of R. Vince's books to buy?

[Mark Johnson <janitor@xxxxxxxxxxxx>]

Randall Kurzon <rkurzon@xxxxxxxxxxxxx> writes
> 
> Anyone care to say which is the best of Ralph Vince's
> three books or which is the most all encompassing?---
>
> Hate to buy all 3 when one will do.
> 

Please remember that Vince's books don't represent
the entire, complete, full, comprehensive, and total
body of all knowledge on earth about position sizing.
They contain the diligent work of one man.  Other
workers have derived other approaches and consequently
they employ other formulae, which (in my opinion)
often supersede Vince's.

Unlike Vince, some of these folks don't sell their
work in a hardcover book for $55.00 from John Wiley
and Sons.  Because it isn't available on the shelf
at your local Borders bookstore, some of this
other work is less well known.

For example, William Eckhardt's "Turtle Position
Size Calculation Formula" differs from Vince's
in a fundamental way: it treats all commodity
markets identically rather than as separate
"market systems" (as Vince calls them).  Further,
the denominator of his betsize calculation is
not "Largest Loss", instead it is a quantity
that closely resembles "risk per contract on
this particular trade in this particular market".

For another example, Ryan Jones' "Performance One"
position size tables take a completely different
tack: position size is a NONLINEAR function of
equity, whereas in Vince's books, position size
is a linear function of equity (and the constant
of linear proportionality is f/largestloss).

For a third example, the built-in primitives in
the best software *I* have ever seen for testing
out position size calculations ("Numerical Recipes"
by RW Systems), include things like total risk
on the long side in all markets, vs. total risk
on the short side in all markets.  And total risk
in the grains group vs. total risk in currencies,
metals, meats, etc.  Trade entry signals can be
skipped if volatility is excessively high (or low),
and so forth.  Your positions in Bonds can, if
you like, affect how you trade your positions
in Crude Oil, and so on.  Ralph Vince treats these
as independent, non-interacting, "market systems".

For a fourth example, Arthur Field's PTT position
size calculations incorporate a continuously
recalculated linear regression of account equity,
and position sizes are altered depending on whether
actual trade results are above or below the linear
regression line.  Needless to say, Ralph Vince
doesn't do this.

But, as you probably know, all four of these other
approaches are "sold" by "vendors".  They aren't
included in books you can check out of the library
or purchase from www.traderspress.com.  So they are
less well known than Ralph Vince's books.  But, in
my opinion, this doesn't make them less useful than
Ralph Vince's books.  In my opinion, some of them
are more useful than Ralph Vince's books.  For
what it's worth.

Now to answer the question: in my opinion, the most
useful of Ralph Vince's three books is "The Mathematics
of Money Management".  I especially recommend reading
the sections of the book that deal with what he calls
"The Fundamental Equation of Trading."  But, sadly,
the last time I looked at Amazon.com, they said the
book was out of print.  Probably some of the smaller
outlets like Traders Press and Futures Learning Center
and Futures Truth Bookshop, still have a few copies
lying around.
-- 
   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"