|
PureBytes Links
Trading Reference Links
|
At 4:49 PM -0400 7/7/00, Ronald McEwan wrote:
>Edgar Peters (Chaos and Order in the Capital Markets) has an interesting
>way of displaying the difference in the distribution of a securities
>returns and a normal distribution of returns. You simply subtract the two
>numbers.
This assumes a buy/hold "system".
If you have a trading system that in the market only part of the time, both long and short, it acts as a "transformation" between the market and your equity curve.
So the distribution of returns in your portfolio may not be the same as the distribution of returns of the underlying market.
Bob Fulks
|