|
PureBytes Links
Trading Reference Links
|
> [RoA with position sizing /RoA without position sizing]?
It's a bit more complicated than that. ROA just uses the max drawdown in
points/dollars but that needs to be balanced against the size you were
trading when the MDD occurred.
The best measure I've seen is Bob Fulks' latest Sharpe Ratio (available
somewhere in the archives.) It lets you choose whether you are scaling
up with a growing account or trading a constant size. The "correct"
Sharpe Ratio calc is different for those two situations.
--
Dennis
|