Re: [RT] Digest Number 1208

[profitok <profitok@xxxxxxxxxxxxx>]

At the end of each year,, here is what I do
a:  take all the money out in excess of 2 times max 
dd
b: the most profitable system for the year  gets  to 
keep the excess,, and I increase the bet size
c the least profitable one for the year  gets a 
decrease  in bet size
example
Aberration  did  67000  on  40000  
initial investment so far this year (11/30/02)
max dd  was  27000trading 10 different  
commodities
so if it is the aver system out of the 3,, then  assuming 
the end year balance is   107000,, then I take out 107 minus  
54  equals 53  net to me
hope this helps
Ben
<BLOCKQUOTE 
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  ----- Original Message ----- 
  <DIV 
  style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From: 
  M. 
  Simms 
  To: <A title=realtraders@xxxxxxxxxxxxxxx 
  href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxx 
  
  Sent: Wednesday, December 18, 2002 11:51 
  AM
  Subject: RE: [RT] Digest Number 
1208
  
  Key issues here 
  are:
  1) what is the 
  OPTIMAL # of systems that should be traded to MINIMIZE dd or MAXIMIZE sharpe 
  ?
  2) what asset 
  allocation model should be used to determine the exact amount of capital to be 
  allocated to each system ?
  <FONT color=#0000ff 
  size=2> 
  <BLOCKQUOTE 
  style="PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #0000ff 2px solid">
    <FONT face=Tahoma 
    size=2>-----Original Message-----From: profitok 
    [mailto:profitok@xxxxxxxxxxxxx]Sent: Wednesday, December 18, 2002 
    11:02 AMTo: realtraders@xxxxxxxxxxxxxxxSubject: Re: 
    [RT] Digest Number 1208
    I have started with aberration over 5  years 
    ago
    with   mid size  amount of  contracts 
    traded,  and still had large dd
    I still trade it but with  duel trust
    the combo DID decrease dd  by  15%  
    in  good year and 25%  in bad year
    then when adding a third mechanical system  ,, 
    dd  is REALLY  manageable
     
    Ben<A 
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