Ep. 959: Hedge Fund Market Wizards Redux with Michael Covel on Trend Following Radio
Michael Covel's Trend Following
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How to Measure Risk
I have one favorite measure, which I put in the book. I call it the gain-to-pain ratio. It's essentially taking all your gains and normalizing them by all the losses you suffered to get those gains. The thing about the gain to pay ratio is it counts all the losses. So your maximum drawdown is going to be in there, but so are all the other drawdowns too.
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