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This is surely where Portfolio Theory comes in.
I use MV Optimizer, which is sold by Pertrac (http://www.pertrac.com) to
look at the relative allocations you should make to different
systems/markets based on historical performance & volatility.
Rus Newton
-----Original Message-----
From: Peter W. Aan [mailto:paan@xxxxxxxxxxxxxx]
Sent: 09 May 1999 14:11
To: omega-list@xxxxxxxxxx
Subject: Money Management
Request for comments and opinions:
There is one aspect of money management (determining # of contracts to
trade) that seems to be rarely, if ever, discussed. Let's say that you
have a system that you wish to employ on a diversified group of market
(10-15+). You've done your testing, and naturally you find that the system
works significantly better on some markets than others.
Do you adjust your money management formula to trade "good" markets more
heavily that the "mediocre" ones?
Peter W. Aan, CTA
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