MatPed,c'mon:-)
Then I test the TS B and the required capital is 1500 I start the TS B with 1500
The profit of the TS B will be reinvested accordingly with SR rule.
Change this to :
"Then I re-test TS B (which my uncle followed) and the required capital from the backtest is still 1000 ( because a bigger maxDD was still not hit). You have 50K accumulated in that account for over 3yrs,now under your name.
What do you use as base capital for TS B in your new account? And why/what are the calcs?
"SR rule" is quite a rough one. You will understand this once you try to re-create the specific calculations behind it.
The paper referenced by jcl states that the risk of a system ( a
continuing sequence of bets) increases with time (regardless if smbdy actually trades it or not).
IMHO, Z systems should be implementing a corresponding "dampening" factor on trade size according to the continuously accumulating statistics - under the hood.
This would practically mean that if you start trading with 10K one year ago and today - the system would use different base trade sizes.
