Dan Gramza's Building Your E-Mini Trading Strategy PDF

By Dan Gramza

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Example text

Let’s take this line of thinking a little further. The periodic data also sheds some light on the long–short strategy whereby there is money to be made on both the winners and the losers. If one has perfect foresight, one is able to pick not only the top performer each year, but also the worst performer. 7 percent per year, which is a nice increase. 3, however, the chance of choosing both the winner and the loser each and every year for 30 years is almost the square of choosing the winner each year, which is an unlikely event.

4 Sample period risk-adjusted average annual returns, standard deviation, and Sharpe ratio for selected size portfolios. 5. S. 13 percent per year (first row, 0 percent international allocation) over the sample period. 91 percent, underperformed the domestic stocks during the period. The second row in the table shows the estimated standard deviation of the returns for each portfolio. 26 percent standard deviation of the domestic portfolio. Thus, it is clear the domesticstock portfolio, with higher return and lower volatility, is the superior alternative.

Still, in spite of the huge increase in the likelihood of randomly choosing an above-median performer for 30 years in a row, the odds of doing so are still minuscule. 3 shows, they are about 9 in 1 trillion. 3 also illustrates the impact of relaxing the conditions on either outcome likelihood. 1 for a visual representation). The data show that as one reduces the requirement regarding the number of years an above-median asset has to be selected, the likelihood of choosing an above-median asset improves.

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Building Your E-Mini Trading Strategy by Dan Gramza


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