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Cameron,
This is just an opinion, I am struggling with these issues myself.
First, actual drawdown is probably not the most accurate measure of
risk, but that said I still use it for now. If you want to get really
crazy, look into Extreme Value Theory to predict risk. This
unfortunately entails a fair amount of statistics and parameter
estimation. As for the selecting systems and securities look into Modern
Portfolio Theory. You will eventually have to optimize weights to
minimize variance, and this contains all the usual dangers of over
optimization.
Gabriel
-----Original Message-----
From: c [mailto:camacazi@xxxxxxxxxxx]
Sent: Thursday, June 17, 2004 8:16 AM
To: omega-list@xxxxxxxxxx
Subject: Equity complexity
Hi all
I am analysing portfolios and , i am wondering..... What criteria do i
pick to choose which systems and securities to trade?
I was thinking the best ROA [return on account,net profit/max drawdown]
but then i though smallest flat period of the final equity curve........
but after analysing these at what point would you consider to many
systems/securities? Does inputing orders on 15 markets sound ummmmmmmm
over the top ? what about when my equity increases do i add more
securities.... what about 20 then 60 then 150 ? when is enough enough?
or.... do i pick the best 5 systems and then start doubling the
contracts traded which also doubles the drawdowns
Any feedback welcome :O)
Any books recommended for me to read?
Cheers
Cameron
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