Hi Howard, thanks for your reply.
Page291 is were I saw that statement which is followed by a well documented empirical evidence on NASDAQ and NYSE stocks from 1990 to 2006. btw I was referring to a more theoretic demonstration of that. I could then expect it to be true even with other samples/data/periods/markets. I can't see the reason why it should be true. Anyway I agree doing my own exploration is a good solution. thanks for that, p --- In [email protected], "Howard B" <[EMAIL PROTECTED]> wrote: > > Hi Paolo -- > > You have a copy of Quantitative Trading Systems. Read the text starting on > Page 291. > > Or --- Select a watchlist and do the research on issues that you are > interested in. > > Thanks, > Howard > > > > On Tue, Nov 4, 2008 at 11:12 AM, Paolo Cavatore <[EMAIL PROTECTED]> wrote: > > > I've seen a statement saying that "Drawdown increases as square root of > > holding period" by Howard Bandy. > > > > Anyone has a demonstration of this...maybe Howard himself? > > > > thanks for any hints, > > > > paolo > > > > > > >
