Epstein Secrets

hout dollar cost averaging into losers. In essence, would you think the results are more stable of someone who made 50% in a year even with a high Sharpe, wherein the sample size was (i) small in the number of positions and factors; (ii) profit factor driven by a small subset of the total trades, and

distribution of returns, IN VOL DAYS and over a given interval of time, follows a Pareto-like distribution. By "indexing" our position sizing (e.g. Kelly Criterion like) to vol, we are always "in" the positions that represent the majority of returns and scale those returns by adding to them, without dollar cos

ithout dollar cost avenging into losers. In essence, would you think the results are more stable of someone who made 50% in a year even with a high Sharpe, wherein the sample size was (i) small in the number of positions and factors; (ii) profit factor driven by a small subset of the total trades, and

distribution of returns, IN VOL DAYS and over a given interval of time, follows a Pareto-like distribution. By "indexing" our position sizing (e.g. Kelly Criterion like) to vol, we are always "in" the positions that represent the majority of returns and scale those returns by adding to them, without dollar cost

losers. EFTA_R1_01953340 EFTA02673940 In essence, would you think the results are more stable o= someone who made 50% in a year even with a high Sharpe, wherein the sample=size was (i) small in the number of positions and factors; (ii) profit fact=r driven by a small subset of the total trades, and

distributio= of returns, IN VOL DAYS and over a given interval of time, follows a Paret=-like distribution. By "indexing" our position sizing (e.g. Kelly Criterion=like) to vol, we are always "in" the positions that represent the majority o= returns and scale those returns by adding to them, without dollar cost

al 4ARMIN EFTA00556673 Performance 1/2 Consistent risk-adjusted returns over a 10yr backtest period with no sign of abating in the recent past Sharpe 3.92 Yearly Return to Max DD 5.34 Avg Yearly Return 22.8% Profitable Days % 59% Avg Daily Return 0.08% StDev Daily Return 0.37% Best Dail

ication under performance constraint 3. Maximization of various performance measures in walk forward process STATISTICAL EQUITY CURVES ANALYSIS Kelly Criterion, Markowitz Portfolio Allocation INTERMEDIATE RESULT 2 DIRECTIONAL LIBRARY Direct. I Direct. i 1 Alloc. Directional n Direct. virec:Lionai