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Hello Volker,
Fair comment.
What *would* you consider to be important as a measure of position
sizing effectiveness?
I also use another metric, which simply multiplies the 'Effectiveness'
values by the 'Profit to MDD' ratio, thus addressing the MDD aspect.
Do you consider that this has more merit as a position sizing
effectiveness metric? I could also use MDD% in some manner I guess.
No, I didn't publish the script you refer to, (I don't use WL) but it
does not seem to be addressing position sizing effectiveness.
Thanks!
--
Best regards,
Ross mail to: Ross.Bond@xxxxxxxxxx
Thursday, February 12, 2004, 11:22:00 AM, you wrote:
V> Ross, I dont think your measurement is really important. What is
V> the difference between 2 and 5 if five had a DD of 90% and 2 of 6%?
V> Did you publish the system here:
[snip]
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