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<DIV><FONT face="Courier New" size=2>First, let me set the scene!</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>The input data is the OEX cash index from
some time in</FONT></DIV>
<DIV><FONT face="Courier New" size=2>1996 to now taken on a 30 minute
interval. For purposes</FONT></DIV>
<DIV><FONT face="Courier New" size=2>of this study I assigned a value of $300
for each OEX</FONT></DIV>
<DIV><FONT face="Courier New" size=2>full point.</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>The system was a modification of the old
Aberration system</FONT></DIV>
<DIV><FONT face="Courier New" size=2>using an adaptive smoothed input series of
closes (thanks</FONT></DIV>
<DIV><FONT face="Courier New" size=2>to an idea from Mark Brown of a while back)
and +/-2 standard</FONT></DIV>
<DIV><FONT face="Courier New" size=2>deviations for entry long and short with
exit at the average</FONT></DIV>
<DIV><FONT face="Courier New" size=2>line.</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>This is what I used for "optimal f"
computation. Note that</FONT></DIV>
<DIV><FONT face="Courier New" size=2>this averaged the total loss of up to three
sequential losses</FONT></DIV>
<DIV><FONT face="Courier New" size=2>rather than just the simple single
loss. This to get </FONT></DIV>
<DIV><FONT face="Courier New" size=2>around an earlier criticism about not fully
adjusting for</FONT></DIV>
<DIV><FONT face="Courier New" size=2>a string of losses. However, I am
inclined to think that a</FONT></DIV>
<DIV><FONT face="Courier New" size=2>moving average of losses would work better
than either </FONT></DIV>
<DIV><FONT face="Courier New" size=2>average approach.</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2> If PositionProfit(1)<0 then
begin<BR> AvgLoss =
AvgLoss*NumbLoss-PositionProfit(1);<BR> NumbLoss=
NumbLoss+1;<BR> If PositionProfit(2)<0 then
<BR> AvgLoss =
AvgLoss-PositionProfit(1)<BR> Else If PositionProfit(3)<0
then <BR> AvgLoss =
AvgLoss-PositionProfit(1)<BR> Else If PositionProfit(4)<0
then <BR> AvgLoss =
AvgLoss-PositionProfit(1);<BR> AvgLoss =
AvgLoss/NumbLoss;<BR> End;<BR> if avgloss>0 then Ncont =
Round(RiskPerc*(InitCash+TotalProfit)/avgloss,0);</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>And the following is what I used for Fixed
Percent .</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2> Value1 = Stddev(Close,
StdDevLn)*2*BigPointValue ;<BR> If Value1>0 then Ncont =
round(RiskPerc*(InitCash+TotalProfit)/Value1, 0);</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>Here are some statistics for these two
methods over</FONT></DIV>
<DIV><FONT face="Courier New" size=2>the range of approximately the same DOLLAR
risks.</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>Percentage risks are higher for Average
Loss case since</FONT></DIV>
<DIV><FONT face="Courier New" size=2>the Average Loss is considerably higher
than 2 times StdDev</FONT></DIV>
<DIV><FONT face="Courier New" size=2>through most of the period. The
attached image shows each</FONT></DIV>
<DIV><FONT face="Courier New" size=2>loss over this period. In order the
date, the amount of loss,</FONT></DIV>
<DIV><FONT face="Courier New" size=2>the "average" loss (as defined above), and
2*StdDev.</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>I don't know about you but I'm sure
sticking with this</FONT></DIV>
<DIV><FONT face="Courier New" size=2>fixed percentage of account divided by 2
times Standard</FONT></DIV>
<DIV><FONT face="Courier New" size=2>Deviation for determining bet
size.</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>Clyde</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2> FIXED PERCENTAGE OF ACCOUNT DIVIDED
BY AVG LOSS<BR> <BR> %RISK NetPrft L:NetPrft
S:NetPrft ROA <BR> 11.00 56219.00
118965.00 -62746.00 166.32<BR> 13.00 62739.00
127912.00 -65173.00 171.73<BR> 15.00 54839.00
123659.00 -68820.00 131.52<BR> 17.00 50520.00
125055.00 -74535.00 112.24<BR> 19.00 70540.00
151839.00 -81299.00 147.19<BR> 21.00 80118.00
163475.00 -83357.00 173.16<BR> 23.00 65716.00
162291.00 -96575.00 125.69<BR> 25.00 65639.00
159729.00 -94090.00 116.97<BR> 27.00 65191.00
164590.00 -99399.00 106.38<BR> 29.00 53265.00
162720.00 -109455.00 82.59<BR> 31.00 71063.00
177374.00 -106311.00 118.09</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face="Courier New" size=2> %RISK
MaxDD BigWTrd BigLTrd<BR> 11.00
-33801.00 32275.00 -16766.00<BR> 13.00
-36533.00 32275.00 -16766.00<BR> 15.00
-41696.00 38730.00 -16766.00<BR> 17.00
-45010.00 38730.00 -19551.00<BR> 19.00
-47924.00 45185.00 -19551.00<BR> 21.00
-46267.00 45185.00 -25149.00<BR> 23.00
-52284.00 45185.00 -25149.00<BR> 25.00
-56115.00 45185.00 -25149.00<BR> 27.00
-61280.00 51640.00 -25149.00<BR> 29.00
-64494.00 51640.00 -26068.00<BR> 31.00
-60179.00 51640.00 -26068.00<BR> </FONT></DIV>
<DIV> </DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV> </DIV>
<DIV><FONT face="Courier New" size=2><BR>FIXED PERCENTAGE OF ACCOUNT DIVIDED BY
STD DEV <BR> <BR> %RISK NetPrft L:NetPrft
S:NetPrft ROA <BR> 1.00
26418.00 53929.00 -27511.00 181.14<BR>
2.00 30361.00 60230.00 -29869.00
174.10<BR> 3.00 62974.00 102988.00 -40014.00
236.12<BR> 4.00 99460.00 145056.00 -45596.00
337.93<BR> 5.00 115231.00 180029.00 -64798.00
249.73<BR> 6.00 122285.00 213547.00 -91262.00
215.03<BR> 7.00 167405.00 279071.00 -111666.00
247.38<BR> 8.00 169136.00 307220.00 -138084.00
195.62<BR> 9.00 163406.00 322314.00 -158908.00
160.74<BR> 10.00 191363.00 384644.00 -193281.00
170.63<BR> 11.00 176102.00 395815.00 -219713.00
133.62<BR> <BR> <BR> %RISK
MaxDD BigWTrd BigLTrd<BR> 1.00
-14584.00 13772.00 -8383.00<BR> 2.00
-17439.00 13772.00 -8383.00<BR> 3.00
-26670.00 19628.00 -10814.00<BR> 4.00
-29432.00 27544.00 -16221.00<BR> 5.00
-46142.00 38455.00 -27035.00<BR> 6.00
-56868.00 41316.00 -32442.00<BR> 7.00
-67671.00 55088.00 -48663.00<BR> 8.00
-86461.00 61528.00 -54070.00<BR> 9.00 -101659.00
68860.00 -59477.00<BR> 10.00 -112149.00 82632.00
-81105.00<BR> 11.00 -131797.00 84601.00 -86512.00</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2><BR></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>- - - - - - - - - - - - - - - - - - - - - -
- - - - - - - -<BR>Clyde Lee
Chairman/CEO (Home of
SwingMachine)<BR>SYTECH
Corporation
email: <</FONT><A href="mailto:clydelee@xxxxxxx";><FONT
face="Courier New" size=2>clydelee@xxxxxxx</FONT></A><FONT face="Courier New"
size=2>> <BR>7910 Westglen, Suite 105
Work: (713) 783-9540<BR>Houston, TX
77063
Fax: (713) 783-1092 <BR>- - - - - - -
- - - - - - - - - - - - - - - - - - - - - - -<BR></FONT></DIV>
<DIV><FONT face="Courier New" size=2>----- Original Message ----- </FONT>
<DIV><FONT face="Courier New" size=2>From: "Gary Fritz" <</FONT><A
href="mailto:fritz@xxxxxxxx";><FONT face="Courier New"
size=2>fritz@xxxxxxxx</FONT></A><FONT face="Courier New"
size=2>></FONT></DIV>
<DIV><FONT face="Courier New" size=2>To: <</FONT><A
href="mailto:realtraders@xxxxxxxxxxxxxxx";><FONT face="Courier New"
size=2>realtraders@xxxxxxxxxxxxxxx</FONT></A><FONT face="Courier New"
size=2>></FONT></DIV>
<DIV><FONT face="Courier New" size=2>Sent: Wednesday, March 01, 2000
17:36</FONT></DIV>
<DIV><FONT face="Courier New" size=2>Subject: [RT] Re: Fixed Ratio or Fixed
Fractional?? Pros and Cons of Each...</FONT></DIV></DIV>
<DIV><FONT face="Courier New"><BR><FONT size=2></FONT></FONT></DIV><FONT
face="Courier New" size=2>> > Just for kicks, why would not WORST CASE
DRAWDOWN<BR>> > to date be something to base the computation on
rather<BR>> > than average loss or total loss in a string.<BR>>
<BR>> Might work. Let us know what you find!<BR>> <BR>> >
That's what the Monte Carlo does. It assumes there is no<BR>>
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