start tweaking that system any further to come to grips with the skew and kurto-
sis. I’d rather start working on a new system to see if I can combine new systems
and markets to come up with a new strategy that also has good skew and kurtosis
figures. If that doesn’t work either, so be it. I think you already have discovered
that to build and research a system, combine several systems and markets into a
whole strategy, and incorporate fixed fractional money management rules can be
as complex and time consuming as you want it to be.
Just to show you the complexity of the formulas going into this spreadsheet,
this formula calculates the amount risked in a trade for one market at a specific
point in time:
IF(AND(INDEX(NewSignals,ThisRow)>0,INDEX(EntryM4,ThisRow)<>
INDEX(EntryM4,ThisRow1),INDEX(EntryM4,ThisRow)>0),
MIN(INT(INDEX(TradeableEquity,ThisRow–1)*WeightM4*PercentRisk2/
(INDEX(RiskM4,ThisRow)*PointValM4))*IF(MarginReqM40,
INDEX(EntryM4,ThisRow),MarginReqM4),IF(MarginReqM40,INDEX(Trade
ableEquity,ThisRow1)*(1/INDEX(NewSignals,ThisRow)),328 PART 4 Money Management
FIGURE 27.3
Rolling time window analysis for the professional spreadsheet.