Paul H. LaskyUnregistered less info
|visits||member for||3 years, 7 months|
|seen||Feb 28 '11 at 16:12|
How do you correct Max Draw-Down for auto-correlation?
I think I was misunderstood: all I am saying that with assets that exhibit autocorrelated returns, my limited experience has been that the autocorrelation condition can and does cease at some time, basically because I believe it is a temporary condition generally caused by heavy buying or demand. In these cases historical high maxdd's will not continue in the future.