Systematic Trading research and development, with a flavour of Trend Following
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Entries Tagged as 'ralph vince'

Practical Leverage Space Model – a More Realistic Test

December 21st, 2010 · 18 Comments · Money Management

How can you apply the Leverage Space Model in real-life trading? The last study on the Leverage Space Portfolio Model was interesting from a theoretical point of view. Its main value was in illustrating the concepts of the framework with real-life data, but it did not have much practical application: on top of some “unpractical” [...]

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Low Winning Percentage = more Robust Systems?

December 9th, 2010 · 17 Comments · Money Management

  One of the characteristics that deter traders from using Trend Following is the typical lower winning percentage rate (i.e. ratio of winning trades vs. losing trades) of such systems. It goes against the natural instinct of “wanting to be right most of the time” as trades end up in a loss more often than [...]

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Vince's Optimal f and the Leverage Space Model – Take 1

December 2nd, 2010 · 19 Comments · Money Management

Following the Risk-Opportunity Analysis conference I attended earlier this month, I decided to test the model and the software used to implement it (Vince‘s java app and Joshua Ulrich’s R implementation). Most of the mathematical formulas supporting the model are in the book Leverage Space Trading Model. I will not paraphrase the book and reproduce [...]

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Risk-Opportunity Analysis

November 25th, 2010 · 11 Comments · Money Management

I have been travelling in the last three weeks. One of my destinations was Tampa, Florida, where I attended Ralph Vince‘s Risk-Opportunity Analysis course, over a weekend (check here for a presentation of the course). My main objective for attending was to strengthen my knowledge of Money Management/Position Sizing and my understanding of the concepts [...]

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Vince’s Leverage Space Model: better than MPT?

March 22nd, 2010 · 29 Comments · Backtest, Money Management

Ralph Vince‘s book Handbook of Portfolio Mathematics has been shamefully lying untouched on my desk for a few months… I started reading it but never finished it. I recently found a 30-page paper introducing the ideas and principles of his Leverage Space Model. I thought reading it might be a good way to get back [...]

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