Showing posts with label Trade returns. Show all posts
Showing posts with label Trade returns. Show all posts

Friday, March 23, 2012

Probability density function of portfolio returns

The overall picture of a trading system looks good so far. After I get more evidence of the superior performance, I will later try to open a few elements of the system. Here I have calculated a distribution of the trades and their impact to total portfolio. For comparison, there is Normal distribution and Dax distribution with 10% money management.