Any good book on statistics side of system building?

Discussion in 'Educational Resources' started by richardyu301, Jul 27, 2005.

  1. inCom

    inCom

    If compounding, 7% per month is 225% annualized. Nice return.
     
    #31     Jul 31, 2005
  2. wizardx

    wizardx

    nice. how much capital are you trading with and how long have you been trading this system?

     
    #32     Jul 31, 2005
  3. Thanks :D

    Candle
     
    #33     Jul 31, 2005
  4. Most don't reinvest money, because if your 10th,
    11th, 12 month are big losers, you give back most
    of what you have made back to the market.
     
    #34     Jul 31, 2005
  5. I suggest Toby Crabel's book or his articles from TASC. Also, the article in Jul 2005, TASC is interesting: "Targeting Your Pattern"

    We've developed scripts based on Crabel & refined them with Scorpio's zones. Statistics work...
     
    #35     Jul 31, 2005
  6. #36     Jul 31, 2005
  7. inCom

    inCom

    Why? Suppose you have 100$ and lose 7% for three consecutive months, as in your example.
    Without compounding: 100 - 7 - 7 - 7 = 79$, so you lost 21$.
    With compounding: 100 * 0.93 * 0.93 * 0.93 = 80.44$, and you lost just 19.56$.

    As another example, suppose instead you won 7% for three months.
    Without compounding: 100 + 7 + 7 + 7 = 121$, so you won 21$.
    With compounding: 100 * 1.07 * 1.07 * 1.07 = 122.50$, and you won 22.50$, which is more.

    In both cases, you're better off by compounding than not.
     
    #37     Jul 31, 2005
  8. If you win for 9 months with 7% return and compounding
    it will 183% return.
    Now if you lose 7% last 3 months, your account return will
    be 148%.
    Second scenario could be worse, if your last 3 months lose
    is 10% each, you return will be 134%.

    So it's proving neither methods has any advantage over another.
    Best/worst Scenarios depend just on your luck.
     
    #38     Jul 31, 2005
  9. Prevail

    Prevail Guest

    #39     Jul 31, 2005
  10. Portfolio Management Formulas, Ralph Vince.
     
    #40     Jul 31, 2005