Course Name: Position Sizing in Trading, Section No: 16, Unit No: 6, Unit type: Quiz
Can you kindly explain how to make this table? I am interested in the construction.
Hi Yuki,
We'll get back to you shortly.
Regards
Hi Yuki,
Sorry for the late reply. We got a response to your query from the author. Here is the answer:
"The table was restored numerically. We created a random profitable trading strategy - just a list of random trades that were, on average, profitable. Then we calculated what's the optimal F for this strategy. Afterwards, we ran a bootstrap and created 100 versions of the original strategy with the disarranged trades. Then we calculated maximal drawdown before account doubling and put the result into the table. The result would be more precise if 1000 or 10000 bootstraps were produced."
Hope this helps