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If you go to the site www.smarttrading.com, you will have accessed
Rumery&Lehman's site. They have a solution they feel eclipeses Vince's
optimal f, their fixed ratio money management. Now look at the stats from
their brochure below:
SP system
Total Net Profit= 25830, Largest DD=19%.
After Fixed Ratio moneymanagement
Totat Net Profit= 204000, Largest DD=22%
There is no advantage to applying fixed ratio management vs scaling up on the
number of contracts. In fact, there is a disadvantage is so doing. Before
applying
fixed ratio MM, the system had 5.26/1 net profit to Largest DD ratio. After
MM
the ratio dropped to 4.54. Yet...Rumery& Lehman is charging around $1500 for
the
software to do the calculations for their fixed ratio MM.
Another example from the brochure:
Bond system
Total Net Profit= 44652
Largest DD= 14%
After fixed ratio MM
Total Net profit=462787
Largest DD= 19%
Before MM the ratio of Net profit to Largest DD is 7.14/1.
After MM, the ratio drops to 5.26 !!!!
To reiterate, what's the point in selling the sofware for fixed ratio MM??
$ 1500 is the point, and if you doin't do your analysis properly as per above,
$ 1500 will soon be parted from thee....
Alan
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