Jim Dean Elite   Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA  User Profile | I know this response will not likely be "popular" with the developers because of the data requirements, but I think it's IMPORTANT, so here goes. We need, in a lot of places in OV and OT, etc, a statistical measure of the RISK EXPOSURE that is taken, as a percentage of Entry price, for the various strategies in the various portfolios. That is, if two ports or strats have roughly similar CAR and MDD, I for one would be drawn to use the one that has me exposed to the least degree of true money-at-risk during the trade. The difficulty is of course that this can only be measured by looking at the price dataseries during the trade ... versus the fixed or trailing stop logic in each strategy. And afaik OVest is not "built" to track that kind of thing. Yet. So ... I don't expect this will be done soon ... but I think it's REALLY important, so I wanted to add it in response to your request for ideas. [Edited by Jim Dean on 4/10/2014 7:06 PM] | |
