Archive for January 21st, 2011

Measuring a System’s Psychological Pressure: The Ulcer Index

http://dnasab.net/?s=2023 Last year I wrote a post suggesting the use of a measurement I invented – the Pain Index – to gauge how easy or hard it would be to trade a strategy based on the maximum draw down of that strategy and the maximum draw down period length within a definite trading period. However this […]

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