Re: [RT] Digest Number 1208

[profitok <profitok@xxxxxxxxxxxxx>]

because it was the middle  in performance..  it got 
to  keep only the 2 times max dd
and yes it traded all year  the 10 
commodities
biggest wins are  short us  dollar
500 per point
stay in this position for MONTH
<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: Thursday, December 19, 2002 9:33 
  AM
  Subject: RE: [RT] Digest Number 
1208
  
  Wow  - 
  that's really interesting....can I ask you how you arrived at this allocation 
  model ?
  BTW: You had 
  Abberation trading FULL-TIME in 10 different markets ALL YEAR 
  ?
  <BLOCKQUOTE 
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    <FONT face=Tahoma 
    size=2>-----Original Message-----From: profitok 
    [mailto:profitok@xxxxxxxxxxxxx]Sent: Wednesday, December 18, 2002 
    11:05 PMTo: <A 
    href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxxSubject: 
    Re: [RT] Digest Number 1208
    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
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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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