[achalk]

Can anyone refer me to any reference work on risk and time in the market.

E.g. if two strategies have equal returns but one has the trader in the market longer than the other, how do we calculate the strategies' relative risks?

Thanks.

[MightyMouse]

Originally Posted by achalk »

Can anyone refer me to any reference work on risk and time in the market.

E.g. if two strategies have equal returns but one has the trader in the market longer than the other, how do we calculate the strategies' relative risks?

Thanks.

Are trying to determine the relationship between time and risk?

[Do Or Die]

Originally Posted by achalk »

E.g. if two strategies have equal returns but one has the trader in the market longer than the other, how do we calculate the strategies' relative risks?

Thanks.

Usually the strategy which takes the larger number of trades is better assuming other performance metrics are same.

Say a Strategy A keeps the trader in market for first two hours while Strategy B keeps the trader in market for full day. Both take same number of trades and have the same performance metrics. In this case Strategy B is better because it is validated for longer time in the market. If there is a regime change in opening session of the market, B is less likely to be effected.

[achalk]

Originally Posted by Do Or Die »

Usually the strategy which takes the larger number of trades is better assuming other performance metrics are same.

Say a Strategy A keeps the trader in market for first two hours while Strategy B keeps the trader in market for full day. Both take same number of trades and have the same performance metrics. In this case Strategy B is better because it is validated for longer time in the market. If there is a regime change in opening session of the market, B is less likely to be effected.

But strategy B keeps the trader's capital at risk for longer. Is it not, therefore, a more risky strategy?

[Do Or Die]

Originally Posted by achalk »

But strategy B keeps the trader's capital at risk for longer. Is it not, therefore, a more risky strategy?

See it this way... strategy B has been validated in a better way by keeping (managing) the trader's capital for a longer time.

[JohnTaylorHK]

Originally Posted by Do Or Die »

See it this way... strategy B has been validated in a better way by keeping (managing) the trader's capital for a longer time.

Would you rather lend your cash to someone for a week to earn $100, or to someone else for a month. Lending for a week only means I can get a risk-free return for the other free weeks, and is hence the more rewarding strategy.

[Do Or Die]

Originally Posted by Greevus »

Would you rather lend your cash to someone for a week to earn $100, or to someone else for a month. Lending for a week only means I can get a risk-free return for the other free weeks, and is hence the more rewarding strategy.

You can also argue on similar lines- "would you rather make $$$$ from 100 sales or from two sales" on the number of trades a system makes (everything else remaining same.)

Your take, I'm over with this post

[JohnTaylorHK]

Originally Posted by Do Or Die »

You can also argue on similar lines- "would you rather make $$$$ from 100 sales or from two sales" on the number of trades a system makes (everything else remaining same.)

Your take, I'm over with this post

Strategy B has worse performance since it took longer to make the same amount of money