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
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
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