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>MPT?
In my post, MPT stood for Modern Portfolio Theory, ala Markowitz. MPT, by
itself, is a great subject. Search the web for "Modern Portfolio Theory", or
"efficient frontier", and do some research. It may be well worth your time.
BTW, the Sharpe ratio is an offshoot of MPT. Bill Sharpe has jumped into the
managed money arena and even has a web site now. Can't remember the URL.
Look it up.
>Scott, This sounds like it may be a great idea but I don't have a clue as
to how to treat a system as a transformation of raw price.
It is just a fancy way of saying (and thinking about your) equity curve. The
essence of my suggestion is to treat each market system's equity curve as an
asset class. So when you read about asset allocation in the MPT literature
that you (hopefully) will research, and they are talking about all these
base asset classes like stocks, bonds, as a futures trader you can expand
your universe of uncorrelated asset classes by using your futures market
system's equity curves.
Ralph Vince talkes about this stuff in his books - highly recommended. IMO,
Vince *is* the master of MM.
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