[Not MM] Does PositionSizing really work?

["Herman van den Bergen" <psytek@xxxx>]

<SPAN 
class=060541313-03112002>Hello,
<SPAN 
class=060541313-03112002> 
I am probably 
taking the risk of loosing more friends by asking this question ... 
But please note that t<SPAN 
class=060541313-03112002>his question does NOT ask how PosSiz is used in MM, 
what i would like to know is if anybody has used PosSiz in a stand-alone 
trading system with good results. For example by controlling position size based 
on trend, recent profits, or other stock in-afl-system obtainable data. 
Perhaps with one of these lines:

<FONT 
size=2>PositionSize = -50 + 
ROC(hbT3A(C,20,0.84),1)*5; <FONT 
size=2> PositionSize = 
-50 + ROC(hbT3A(Equity(1),20,0.84),1)*5;
<FONT 
size=2>PositionSize = - 100 + 
RSI();<SPAN 
class=060541313-03112002>
My limited 
experience is that using PositionSizing I can improve my win/loss ratio from 
below 1 to above 10 however my profits dwindled to 10% of the original 
level, with a decrease in Market exposure. There was only a marginal 
reduction in DrawDowns. I could select any level of performance (in terms of W/L 
ratio) between 1 and 10 but there seemed to be no clear winner. What shouldI 
look for?
<SPAN 
class=060541313-03112002> 
Another very 
important question is how to rate the effectiveness of position sizing, 
final profits don't mean too much I think. What if we use something 
like:

<FONT 
size=+0>
E = Equity(1<FONT 
size=2>);Tr = <FONT 
face=Arial>Ref(Buy OR 
Short,-1<FONT 
size=2>);Shares = <FONT face=Arial 
size=2>ValueWhen(Tr,E/O<FONT 
size=2>);<FONT face=Arial 
size=2>SysRating = Cum(Shares * 
ROC(E,1);
This would provide a 
final rating proportional to the number of shares purchased and their profit. If 
we bought more shares at times when profits were high this rating would go up, 
if we bought large numbers of shares while profits were low this rating would go 
down. Assuming other conditions remain constant, would this be valid reasoning? 
Any comments on this?
<SPAN 
class=060541313-03112002> 
Anybody willing to 
jump in and share real life afl 
experiences?
<SPAN 
class=060541313-03112002> 
Best 
regards,
<SPAN 
class=060541313-03112002>Herman.
<SPAN 
class=060541313-03112002> 
<SPAN 
class=060541313-03112002> 
<SPAN 
class=060541313-03112002>