Re: Commodity Strategy (long)
[ QUOTE ]
If someone were to take a $100,000 account, and trade 5 different random markets, risking ‘only’ $20,000 each, that person would have made $6,571 in each market on average per year, for an annual return of nearly (6571x5/100,000), or 33%.
[/ QUOTE ]
What's the leverage on your $100k resulting in 33% return?
What's the max drawdown peak to valley?
Has this strategy been performing better or worse over time?
Your notion of "risking $X" seems to assume that the commodity will not move further than the current yearly hi to lo. Does that hold true?
With a Monte Carlo technique on daily returns from backtesting, what is the risk of ruin on $100k with your sizing scheme?
eastbay
|