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At 09:26 PM 9/6/99 -0700, Mark Johnson wrote:
>Over the Labor Day weekend, I decided to try out the
>Fixed Ratio approach for choosing position sizes when
>trading commodity futures. This scheme appears in Ryan
>Jones's book "The Trading Game":
-snip-
Mark was kind enough to send me some details of these 2 tests,
and I'd like to point out why I would choose the Jones
method. FR (fixed ratio) is good at allowing size to increase
faster in the beginning and then slow down and get more
conservative as the acct gets larger. Below is the year ending
acct balances from Mark's data for the first few years to
illustrate:
year spear jones
1987 113K 130K
1988 149K 199K
1989 212K 384K
1990 336K 608K
>From this point on, FF starts catching up and then blows
by FR, since it is then trading larger size and risking
more of the acct/trade than FR. At the end of the test,
FR is only trading 29 contracts. Thats pretty small for
being up 5 mil+ . FF is trading from 80 to 194 cnts.
Jones talks about switching to FF after reaching a certain
point in the acct, but we should all be so lucky as to
have to worry about that. I'd rather see the better
bottom line in those first 4 years.
regards,
rich
___________________________
Rich Estrem, Tucson,Az.
estrem@xxxxxxxxxxxxx
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