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nikol


Total Posts: 977
Joined: Jun 2005
 
Posted: 2019-10-30 20:30
From information point of view it is almost the same. For credit risk you still have to know the level.

quantie


Total Posts: 893
Joined: Jun 2004
 
Posted: 2020-01-07 09:47
[i]My guesses at why this did not work for you is... imagine you play blackjack where you have an edge. But you reduce your bet size when you lose money not when your edge goes lower. This will most likely result in what you described. So, the answer/solution to that would be, instead of looking at drawdown... you might want to reduce size on edge decay which is probably a harder measure. Second guess as to why this might happen is your returns might actually be negatively autocorrelated or your strategy trades some type of mean reversion. In this case, the optimal bet size is actually doubling down as edge has actually increased in your favor. By reducing bet size on drawdown, you are actually betting less when your edge has increased which will almost always end in ruin.[/i]

@tabris I agree with you but what energetic tried based on the wizards book is a reasonable strategy when managing other peoples money as most places your capital automagically gets reduced(increased) based on PnL a terrible idea but that is the state of the game!

Energetic
Forum Captain

Total Posts: 1514
Joined: Jun 2004
 
Posted: 2020-01-14 18:49
Hi quantie, good to hear from you, it's been long time ...

I think your first guess is right on the money, at least when the edge is relatively stable. I have no idea whether it is in my case. The drawdowns could be and, in my subjective opinion are, mostly the result of randomness: just having a few negative outcomes in a row puts me in a decent size hole. Nevertheless, I cannot exclude the possibility that the edge is quite variable itself. I could possibly find a way to assess it after the fact but probably not on the fly so it is not likely to help me risk manage the position. But I'll give it a thought, thanks for the suggestion!

For every complex problem there is an answer that is clear, simple and wrong. - H. L. Mencken

quantie


Total Posts: 893
Joined: Jun 2004
 
Posted: 2020-01-15 20:25
Yes energetic was over at your old stomping ground for the Fall open house! I will try and make the next NP drinks.
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