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Don't understand your comment at all

Posted By: Don Schlesinger
Date: 27 Aug 01, 5:44 pm

In Response To: Tsk, tsk (Kim Lee)

"Since virtually all of these guys are just flipping coins anyway, the season variance isn't predictable."

First, we weren't talking about a guy flipping coins. We were talking about a guy who had demonstrated 56% ability over the long run.

Second, how can you be in the financial markets and not acknowledge the validity of measures such as Sharpe Ratio and maximum drawdown? Shame on me? Shame on you!

If I presented you with two trading systems that have made money consistently for, say, 20 years, and they each had the same return, but one had twice the volatility of the other and consistently larger drawdowns, if you chose that system over the other one, you'd be nuts.

Don

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Messages In This Thread

Handicappers, Variance and Consistency. -- lepto -- 27 Aug 01, 6:39 am
Consistency -- Don Schlesinger -- 27 Aug 01, 7:58 am
Clarifying my question: -- lepto -- 27 Aug 01, 8:16 am
Clarifying Don's response -- Math Boy -- 27 Aug 01, 9:03 am
In the financial markets, . . . -- Don Schlesinger -- 27 Aug 01, 5:39 pm
Tsk, tsk -- Kim Lee -- 27 Aug 01, 1:54 pm
Don't understand your comment at all -- Don Schlesinger -- 27 Aug 01, 5:44 pm
Streaks -- Revere14 -- 28 Aug 01, 1:43 am
Sharpe -- Editor -- 28 Aug 01, 8:51 pm
Don't Bother Kim.... -- Dr Wogga -- 30 Aug 01, 11:13 am
Yup -- Don Schlesinger -- 30 Aug 01, 2:17 pm

 

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