OmniVest User Forums
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What's your favorite risk-return measure?
56 replies, 5060 viewings
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OmniVest User Forums
User-Created Portfolios
What's your favorite risk-return measure?
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Last Activity 7/22/2015 8:11 AM 56 replies, 5060 viewings |
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Mark Holstius Elite    Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL  User Profile |
Mark | ||
| HClemmons Member Posts: 9 Joined: 10/11/2012 User Profile |
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. | ||
| Steve Mayo Legend Posts: 414 Joined: 10/11/2012 Location: Austin, TX User Profile |
[Edited by Steve Mayo on 4/24/2014 7:52 PM] | ||
| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
While "rolling return" would also be an interesting measure, I prefer to look at fixed, non-overlapping periods. It's a simple way to understand how quickly draw downs are recovered and how consistent positive profits are achieved. I typically use quarterly periods as that aligns well with my risk tolerance. Steve | ||
| HClemmons Member Posts: 9 Joined: 10/11/2012 User Profile |
However, if the top strategy only has one eligible trade, and I have funds for three trades, it will go to the next highest strategy (if expected return is high enough), and get trades from the next strategy. If not, I stop at the one trade selected and wait for the next trading day. Ever changing PORTFOLIO based on expected return of the STRATEGIES. | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Mark | ||
| Eric Severance Member Posts: 23 Joined: 10/11/2012 Location: Incline Viallge, NV User Profile |
Thx, Eric |
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