Ralph Vince - Portfolio Mathematics

354 THE HANDBOOK OF PORTFOLIO MATHEMATICS FIGURE 10.6 Two-to-one coin toss, GRR atT= 1 Notice that by doing this, if each scenar ...

The Geometry of Leverage Space Portfolios 355 FIGURE 10.7 Two-to-one coin toss, GRR atT= 30 from nearly 0,0 for both values off, ...

356 THE HANDBOOK OF PORTFOLIO MATHEMATICS FIGURE 10.8 Geometric mean HPR two-to-one coin toss (=TWR atT=1) For a positive arithm ...

The Geometry of Leverage Space Portfolios 357 FIGURE 10.10 dTWR/df for 800 plays (T=800) of the two-to-one coin toss. The peak t ...

358 THE HANDBOOK OF PORTFOLIO MATHEMATICS increases, the distance between these advantageous points and optimalf diminishes. Sup ...

The Geometry of Leverage Space Portfolios 359 Drawdown Management and the New Framework THE NEW FRAMEWORK Drawdowns occur from o ...

360 THE HANDBOOK OF PORTFOLIO MATHEMATICS Everything I have written of in the past and in this book pertains to growth optimalit ...

The Geometry of Leverage Space Portfolios 361 FIGURE 10.11 Drawdown optimality is approached at a different point on the landsca ...

362 THE HANDBOOK OF PORTFOLIO MATHEMATICS this problem can be found by the fundamental equation for trading. Since growth—that i ...

The Geometry of Leverage Space Portfolios 363 In the real world of trading, you must insulate yourself from the undulations in t ...

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PART II Practice 365 ...

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CHAPTER 11 What the Professionals Have Done I n this chapter we examine those common denominators, in terms of portfolio and sys ...

368 THE HANDBOOK OF PORTFOLIO MATHEMATICS Here are the main, common tactics that most of these successful long- term trend-follo ...

What the Professionals Have Done 369 most of them). Essentially, long-term trend-following systems will be long a raging bull ma ...

370 THE HANDBOOK OF PORTFOLIO MATHEMATICS There is also the practice of staggering entries and exits. That is, most of these fun ...

What the Professionals Have Done 371 is the question of whether they use the same parameter values from one market to another. T ...

372 THE HANDBOOK OF PORTFOLIO MATHEMATICS Ideally, managers would like to have trend-following systems that are uncorrelated or ...

What the Professionals Have Done 373 Put another way, if you own a casino, and an individual comes in, has a few plays that brea ...