Portfolio Management Formulas Mathematical Trading Methods For The Futures Options And Stock Markets Author Ralph Vince Nov 1990 ^new^ ✦ Editor's Choice

Beyond "Buy Low, Sell High": The Cold, Hard Math of Money Management

Title: Portfolio Management Formulas: Mathematical Trading Methods For The Futures, Options, And Stock Markets Author: Ralph Vince Date: November 1990

1. Download the historical trade log of your strategy.
2. Calculate the Terminal Wealth Relative for various ( f ) fractions.
3. Find your Optimal ( f ).
4. Cut it in half (to survive psychological stress).
5. Trade.

2. The Geometric Mean vs. The Arithmetic Mean

One of the most profound lessons in the book is the distinction between average trade (Arithmetic Mean) and average growth (Geometric Mean). Beyond "Buy Low, Sell High": The Cold, Hard

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