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John Lynch wrote:
>Can you please share your preferences for tools to perform the analysis (I
>was thinking of something to run in Excel at low to zero cost)?
Funny you should ask. Check this out:
http://unicorn.us.com/trading/prosizer.html
This is an Excel tool I developed myself. I just put some finishing
touches on it yesterday. I may sell it; I see others for sale that
don't seem nearly as good. :-) It does Monte Carlo simulations
of combinations of position sizing strategies. I use it to find
parameters that give me the maximum expected return for my maximum
acceptable drawdown.
Dennis wrote in the thread "Re: Limited life span of mechanical
systems?":
>As an aside, Optimal_F usually gives you a higher than 90%
>probability of wiping out the account when you run the system
>through the MC. So, Optimal_F is decent at defining where the edge
>of the cliff is. What it doesn't do is tell you how far back from
>the cliff edge you need to walk to feel "safe." The MC does that.
Yes, Monte Carlo certainly does do those things! With my tool you
can find the "optimal F" for any position sizing model and verify
for yourself that the drawdowns are immense at the optimum point.
But with this tool you can also find the combination of parameters
that gives you the best return and best return/drawdown ratio for a
given maximum drawdown.
I see other applications like this selling for $95 and up. I think
that's too high, personally. Any suggestions are appreciated. $40?
$25? A name less lame than "Prosizer"?
--
,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
// +__> Director of Research and Development
// \
// __) Unicorn Research Corporation -- http://unicorn.us.com
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