In short, what I am saying is: Vince claims that, with MM we can make any system, that has a positive expectancy, even better (where goodness is the geometric mean OR PA%) - he does bring risk into the equation later, although a lot of lay people don't seem to understand that.
I am investigating what we should focus on, and what tools we can use to get a higher expectancy (geomean) at the front end (system design stage) before we move over to MM with Vince and others. I am also looking for ways to measure the risk, at the front end, and trace how OR if, that flows into the backend (equity curve analysis). brian_z --- In [email protected], "brian_z111" <[EMAIL PROTECTED]> wrote: > > What I am doing is using simplistic coin toss simulations to > investigate the 'real' behaviour of no win, breakeven systems (the > null hypothesis) and how some of the evaluation metrics pan out on > that data (which has known W/L and expectancy metrics). > > In short I am investigating the strengths/weaknesses of some of the > metrics and also the alternative to doing all of the evaluation at > the backend (equity curve analysis). > > The way that the rootcause metrics work is independent of money > management. > > For MM I am deferring to optimalF, for the moment, and Vince's work > in general. > > OptimalF shows us the point where we can run,if we want to maximise > returns, and also the risk that goes with that - many of us don't > want to assume that risk but it is good to know where we are on the > sliding scale. > > I have an Excel sheet, that demonstrates the starting point for root > cause analysis, almost ready to roll - it is a lot easier to > discuss/explain/learn when we have some visual/tactile aids. > > It is almost ready to post. > > Since I am working 'live' I am thinking about posting the draft as it > progresses - like the chapter of an online book - people can follow > as I correct errors, extend the post, cut and paste paragraphs etc. > > Having some trouble uploading to the UKB at the moment - as soon as I > sort that out I will upload and you will have some copy to bounce off > to get your ball rolling. > > brian_z > > > > --- In [email protected], "gerryjoz" <geraldj@> wrote: > > > > Hi Brian, > > > > a comment on the coin toss equity curve note you penned. I am > guessing > > if you play with position size in your simulation, you effectively > > have contemporaneous curves which you would then sum. Then the > curves > > won't fan out so much. > > More accurately, in some periods you toss a coin and others you > don't, > > you are either in the market or not on a postion size for separate > > streams. Better still, you have n positions with a final expectancy > > for each with a empirical distribution of the number of bars over > > which you hold the stock, and then you add the result. > > > > In any case, you finish with an argument for smaller position sizes > > and positive expectancy. > > Still thinking about your earlier post. > > > > regards > > Gerry > > >
