Ralph Vince - Portfolio Mathematics
134 THE HANDBOOK OF PORTFOLIO MATHEMATICS 20 TRIALS f VALUES−−−−→ EVENT 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 START VALUES−−− ...
Optimalf 135 0.5 0.55 0.6 0.65 0.7 0.75 0.8 0.85 0.9 0.95 1 2 00 1.82 1.67 1.54 1.43 1.33 1.25 1.18 1.11 1.05 1.00 3.20 3.02 2.8 ...
136 THE HANDBOOK OF PORTFOLIO MATHEMATICS 20 TRIALS f VALVES−−−−→ EVENT 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 START VALUES−−− ...
Optimalf 137 0.5 0.55 0.6 0.65 0.7 0.75 0.8 0.85 0.9 0.95 1 2.00 1.82 1.67 1.54 1.43 1.33 1.25 1.18 1.11 1.05 1.00 3.50 3.32 3.1 ...
138 THE HANDBOOK OF PORTFOLIO MATHEMATICS 20 TRIALS f VALUES−−−−→ EVENT 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 START VALUES−−− ...
Optimalf 139 0.5 0.55 0.6 0.65 0.7 0.75 0.8 0.85 0.9 0.95 1 2.00 1.82 1.67 1.54 1.43 1.33 1.25 1.18 1.11 1.05 1.00 4.00 3.82 3.6 ...
140 THE HANDBOOK OF PORTFOLIO MATHEMATICS 20 TRIALS f VALUES−−−−→ EVENT 0.06 0.1 0.15 0.2 0.29 0.3 0.35 0.4 0.45 START VALUES−−− ...
Optimalf 141 0.5 0.55 0.6 0.65 0.7 0.75 0.8 0.85 0.9 0.95 1 2.00 1.82 1.67 1.54 1.43 1.33 1.25 1.18 1.11 1.05 1.00 7.00 6.82 6.6 ...
142 THE HANDBOOK OF PORTFOLIO MATHEMATICS 20 TRIALS f VALUES−−−−→ EVENT 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 START VALUES−−− ...
Optimalf 143 0.5 0.55 0.6 0.65 0.7 0.75 0.8 0.85 0.9 0.95 1 2.00 1.82 1.67 1.54 1.43 1.33 1.25 1.18 1.11 1.05 1.00 1.00 0.82 0.6 ...
144 THE HANDBOOK OF PORTFOLIO MATHEMATICS assume that there is a maximum drawdown that we can expect is simply an illusion. The ...
Optimalf 145 thef. There is a paradox involved here, in that if a system is good enough to generate an optimalfthat is a high pe ...
146 THE HANDBOOK OF PORTFOLIO MATHEMATICS game (the action). If you were to bet, say, $100, on the situation described above, yo ...
Optimalf 147 (or lose) 50% before a quantity adjustment is necessary. Contrast this to a $500,000 account, where there would be ...
148 THE HANDBOOK OF PORTFOLIO MATHEMATICS FIGURE 4.8 Equity curve for 21 trades on a constant contract basis FIGURE 4.9 Equity c ...
Optimalf 149 FIGURE 4.10 Equity curve for 21 trades withf=.60, or 1 contract for every 5 units in the stake FIGURE 4.11 Equity c ...
150 THE HANDBOOK OF PORTFOLIO MATHEMATICS size? Conversely, would someone trading 10 contracts on every trade who was suddenly c ...
Optimalf 151 a much smoother equity curve than does fullf. Of course, the trade-off is less return—again, a difference that grow ...
152 THE HANDBOOK OF PORTFOLIO MATHEMATICS Recall that with optimalfwe are using the stream of past trade P&Ls as a proxy for ...
Optimalf 153 Thus, we would optimally buy one share for every $166.67 in account equity. If we used 100 shares as our unit size, ...
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