> Measuring uniformity of daily performance (rather than just displaying > it) is what I am thinking of when I talk about calculating the > standard deviation and slope of linear regression over the trades. PI > doesn't really do this because it doesn't take time into account. > <...> I was planning on starting to code this over the weekend.
My prediction is that your measure will vary proportionally to PI and Kelly. But let's see what you come up with. It's relatively straightforward to plug in new performance metrics into the framework. --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [EMAIL PROTECTED] For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en -~----------~----~----~----~------~----~------~--~---
