HClemmons![]() Member Posts: 9 Joined: 10/11/2012 ![]() | Operating off maximizing slope of the line between beginning and ending MV. Maximizing m, is the same as maximizing: number of trades * average allocation percent * average trade return, where trade return is calculated using (trade income) / (beginning MV * average allocation percent). I am looking at the expected returns of the strategies recent trades, and picking the "best" expected return(not always the highest because of variance and number of recent trades to pick from). Use the trades from the selected strategy and let OV tell me when to exit. Setting a minimum expected value keeps you out of the strategy when you get a series of negative trades. For most strategies, I can get a similar return over a period of time with fewer trades (which is a result of higher return per trade). Works similar to the equity curve analysis, since you are avoiding the strategy (portfolio) when the recent results are not favorable. |