Adverse Excursions Part 4, Monthly Return Regimes, 8/26/07
Here are the average monthly returns for the sp futures, last trading day to last trading day, from 1982-1997 and 1997 - p, ~00-02
Regime pct wins w/l ratio exp f f$ 82-97 59% 1.34 4.0 pts .28 $ 30,714 97-p
69% 0.60 5.5 pts .17 $248,529
~00-02 means 2000-2002 data have been removed from the series
f is Ralph Vince's optimal f
f$ is the size of an account necessary to trade one futures contract on a monthly basis and avoid risk of ruin
What are the implications of these numbers for traders during an adverse excursion?
For buy and hold?
For weak hands?