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Just for kicks, why would not WORST CASE DRAWDOWN
to date be something to base the computation on rather
than average loss or total loss in a string.
Remember, I'm asking since I really don't know much about
this -- I'm running a test right now on AverageLoss and
then will test these others on a very simple (Aberration like)
system.
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Clyde Lee Chairman/CEO (Home of SwingMachine)
SYTECH Corporation email: <clydelee@xxxxxxx>
7910 Westglen, Suite 105 Work: (713) 783-9540
Houston, TX 77063 Fax: (713) 783-1092
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----- Original Message -----
From: "Gary Fritz" <fritz@xxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Wednesday, March 01, 2000 16:45
Subject: [RT] Re: Fixed Ratio or Fixed Fractional?? Pros and Cons of
Each ...
> > Before implementing a fixed ratio money management system, I would
> > suggest you read Ralph Vince's Portfolio Management Formulas and
> > his Mathematics of Money Management for a balanced viewpoint, not
> > to mention a wake-up call regarding risk.
>
> After reading Vince's book, I did a bit of experimentation with a
> spreadsheet. The thing I didn't like about opt-f was that it
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