Publications ...


The Underwater Mass Index
The Underwater Mass Index (UMI), represents a new way of determining the ability of your portfolio to stay afloat. This article studies the affect of introducing uncorrelated assets into your portfolio across all market cycles in order to ensure an improved outcome has been achieved.
Maximum Favorable Excursion
Maximum Favorable Excursion (MFE) is the peak profit a trade can earn before the trade is closed out. Reviewing the performance of a trading system allows us to measure the tendency of a trade to enhance the profitability of the overall system.
Staying Afloat
The Underwater Equity Curve can be used to build diversified portfolios as well as define the duration and magnitude of system drawdown. Learn how to truly evaluate a version of drawdown that can effect your personal trading confidence.
Secure Fractional Money Management
Here's how to find a new fractional value of capital to invest in every trade to maximize returns subject to a constraint on drawdown, using a variation of the optimal f money management strategy.
Evaluating System Efficiency
We've all experienced good trades, bad trades and so-so trades. Now we have procedures to evaluate the entries and exits for each trade generated by our system. This article describes how to properly critique a trade beyond the traditional profit/loss.
Dynamic Zones
Most indicators use a fixed zone for buy and sell signals. The Dynamic Zones presents a concept based on zones that are responsive to past levels to improve the effectiveness of a trading indicator.
The Volatility Index
Learn how to quickly measure the implied volatility of the S&P 100 index using the Volatility Index (VIX).