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Posts: 515

Joined: 8/17/2006
Location: Citrus Springs, FL

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Subject : RE: Most and Least-Useful PortSim Alloc Methods
Posted : 8/30/2018 8:12 PM
Post #45293 - In reply to #45234

Jim, I certainly understand your meticulous analysis of what is going on and appreciate the perspective.

I maintain the view that as long as the "synthetic" history captures the character of the charts being traded then it is a reasonable approximation useful for drawing some conclusions about the future.

It is interesting to me that if all identifying lables are removed most people could not tell the difference between a 15m chart on a stock vs. a daily chart on crude oil (me included), or whatever. That is kind of thought provoking when I think about just what my analysis is doing.

Weighing in on the % equity, dollar amount question (again) I am still in favor of maybe an additional calculation based on risk. Sort of like a lottery ticket. I can only lose $2 even if the pot is multi-millions. Percent of equity does not apply the same as if I place a trade with a stop at $200 loss. $200 is all I can lose no matter the notional value of the trade (notwithstanding the outlier event where stops don't work.) I'm no accountant but I would like to see some parallel analysis in Port Sim of return on capital at risk. That could change PS results and amounts traded.

I think this becomes more evident in futures trading. Taking the eMiniS&P 500 with $6350 I can control a $145,000 investment. That further is reduced to the dollar risk to the stop. It is not unreasonable to find a trade where $500 risk is a good trade. So now with $500 for $145000 what is the best way to calculate a meaningful measure?

Just saying...
Deleting message 45293 : RE: Most and Least-Useful PortSim Alloc Methods

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