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Hello Mark,
MJ> Bob Fulkes writes of Sharpe ratios of mechanical systems.
Markets are dynamic and so should the models which trade them be, WHY
would we expect that the risk - money management part of the system be
any less dynamic? I'm talking about the asset allocation on a per
unit basis.
The scenario goes something like this
all the client wants to know is the following ridiculous items:
how little can i put up to trade with (margin)
how little can i risk (drawdown)
how much can i make (upside)
how quick will it happen (pronto, pronto)
what a world we live in..
Best regards, Mark Brown
ps i will concede the the most profitable models i have ever
discovered are mid to longer term in nature. problem is that few have
the patience to allow them to work.
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