Ep. 754: The Schwager Launch 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 a 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. That statistic is just extremely meaningful if you take it down to the daily level. So I do have it in the book as an appendix, because it is not a standard measure out there.
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