Generally, good trailing stop-losses or deep out-of-the money put would help mitigate rare but significant events. It is more expensive to deal with a strategy which has frequent smaller declines: cost of protective puts is higher and/or stop-losses would be hit more often. From: Judson Wilson <[email protected]> To: [email protected] Sent: Sunday, June 19, 2011 7:23 PM Subject: Re: [JBookTrader] Re: Sterling Ratio performance metric
On Sun, Jun 19, 2011 at 5:16 PM, Astor <[email protected]> wrote: > >I think I agree with Eugene on this one. A singular event in Strategy B may >never repeat. A mutlitude of $500 drawdawns in strategy A suggests that this >type of event is likely to re-occur. > > > Right, but I think A is more statistically reliable, and B might be more vulnerable to rare bad events. Maybe that is just superstition in me. -- 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. -- 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.
