Abstract
The focus of this work is on money management: that is, given a trading system, how much should be risked per trade? Whilst many studies study trading systems and their ability to generate profits, few consider the equally important question of money management. In this work a method of money management is considered which depends on the largest expected draw- down (LEED). The properties of the LEED method are studied using a well- known technical trading rule applied to Canadian dollar futures.
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References
Gallacher, W.R.: Winner Take All. McGraw-HilI, Sydney (1994)
Levich, R.M., Thomas (III), L.R.: The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach. Journal of International Money and Finance, 451–74 (October 1993)
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© 2003 Springer-Verlag Berlin Heidelberg
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Lajbcygier, P., Lim, E. (2003). Trading Futures with the Largest Equity Drawdown Method. In: Liu, J., Cheung, Ym., Yin, H. (eds) Intelligent Data Engineering and Automated Learning. IDEAL 2003. Lecture Notes in Computer Science, vol 2690. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-45080-1_132
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DOI: https://doi.org/10.1007/978-3-540-45080-1_132
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-40550-4
Online ISBN: 978-3-540-45080-1
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