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
~00-02		 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?

Henry Carstens
Vertical Solutions
carstens@verticalsolutions.com