[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

RE: Cruz Brothers and 2000i



PureBytes Links

Trading Reference Links

I always adjust the historical drawdown to the current price level.

PO

> -----Message d'origine-----
> De : Phil Lane [mailto:patterntrader@xxxxxxxxxx]
> Envoyé : samedi 23 juin 2001 16:42
> À : pierre.orphelin@xxxxxxxxxxxxxx; Omega-list@xxxxxxxxxx
> Objet : Re: Cruz Brothers and 2000i
>
>
> > Yes.
> > The lack of portfolio capabilities in TS ( that were existing
> in SWP) is
> a
> > weak point.
> > You may rely on Rina systems tools or build your own at this time.
> >
>
> I don't think so.  Say you built a system that scaled (normalized) the
> position size according to the inverse of volatility.  In my
> opinion this is
> the ONLY legitimate way to do it.  Strangely enough, not too many people
> understand why.
>
> For example, say you developed a typical single-contract system for the
> daily SP.  Say this system produced a typical drawdown of 10K.
> Trouble is,
> back in the early 80s the SP moved only about 1 point per day
> whereas now it
> moves about 20 -20 points.  So in reality you would have been
> trading about
> 20 - 40 times the contracts back then as you would now for a given account
> size to get the same leverage.  And your real drawdown back then
> would have
> been 200K - 400K, not 10K as your single-contract development
> would suggest.
>
> Unfortunately Rina completely misses this point.  Their software cannot
> accomodate a variable-size simulation output from TradeStation.  At least
> this was the case last time I checked.  Here we have an entire company
> (industry actually) founded on a risky technical misconception.
>
> Fwiw, Phil
>
>
>
>