Paul H. Lasky

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seen Feb 28 '11 at 16:12

Feb
26
comment 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.