The Leverage Space Trading Model

[BlueHorseshoe 10]

Has any one read this? Is it any good?

 

Thanks for your thoughts.

 

BlueHorseshoe

[SIUYA 11]

Check out Jez's site - he does a review, is very thorough and he is a nice straight shooting guy . Plus his site is something you might like.

Vince's Leverage Space Model: better than MPT? | Au.Tra.Sy blog - Automated trading System

 

I have never gotten into the maths side in detail --- so it holds little interest for me.

[zdo 20]

BHS,

 

Vince has been a very costly 'associate'.

After having spent more money than I care to divulge on programming and testing for optimum – f… and then even more for leveraged space programming, etc. I can safely say for my own purposes I should have remained more singularily focused on an “adaptive approach to … chronomorphic distributions”. Practically, getting a handle on the “morphing” is far more important than dialing in (some theoretical) improvements on “MPT”…

so re: sizing. Over the long haul, the original ‘optimal-e’ work I did way back when -which basically makes a sufficiently good guess on how far left of optimal-f to size - does just as well as 'Leveraged Space' regardless of distributions, diversity and correlations in portf, etc. and all the other stuff his model purports to factor in… wish I had just unpackaged Handbook of… and put it on the shelf … unopened… unskimmed... unread... unapplied...

 

hope this sample of one helps

[BlueHorseshoe 10]

BHS,

 

Vince has been a very costly 'associate'.

After having spent more money than I care to divulge on programming and testing for optimum – f… and then even more for leveraged space programming, etc. I can safely say for my own purposes I should have remained more singularily focused on an “adaptive approach to … chronomorphic distributions”. Practically, getting a handle on the “morphing” is far more important than dialing in (some theoretical) improvements on “MPT”…

so re: sizing. Over the long haul, the original ‘optimal-e’ work I did way back when -which basically makes a sufficiently good guess on how far left of optimal-f to size - does just as well as 'Leveraged Space' regardless of distributions, diversity and correlations in portf, etc. and all the other stuff his model purports to factor in… wish I had just unpackaged Handbook of… and put it on the shelf … unopened… unskimmed... unread... unapplied...

 

hope this sample of one helps

 

Hi ZDO,

 

Thanks for replying. I suspected as much when I saw mention of 'genetic algorithms'. Although Vince's other work has been, on the whole, worth my time reading.

 

Moving slightly off topic . . . My experience regarding Position Sizing has been that it is better to use some form of (anti-martingale style) money management than trading a fixed size or 'doubling down' . . . But beyond that basic epiphany it becomes shades of grey. The difference between fixed fractional, optimal f, and perhaps LSP model is, compounded over the course of ten years plus (I've never been interested in anything less - I'm not trading for income), is pretty much negligible compared to the result of trading a fixed position size. And the difference is better understood in terms of personal tolerance etc than net return.

 

Is this something with which you would agree?

 

Cheers,

 

Bluehorseshoe

[Kobayashimaru 10]

Just about to embark on further study into position sizing. If, as you say, optimal f or optimal e or other anti-martingale strategies are not significantly different from LSP, how do you approach the idea of combining different strategies/markets/systems?

 

How many strategies/markets/systems are enough to achieve optimal "diversification". I think RV did a good job with the idea of backtesting for correlation and using maximum "joint" drawdown as a metric. I had not seen much of this before 2008.

 

So what f are people trading out there? How much maximum drawdown are others willing to tolerate in a single system? How much maximum "joint" drawdown are you willing to tolerate? How did you arrive at those figures? Do you have any testing to support those limits?