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--- "Phsst" <phsst@xxxx> wrote:
> ... ATR positionsize logic is appropriate assuming your measure
> of risk as a % of Equity is based upon "individual trades" as the
> benchmark. But does that approach translate into a predictable
> Equity drawdown measurement where "Portfolio trades" are
> measured?... ie. where major mkt downturns result in high numbers
> of sequential 1% trade losses.
Phsst,
Right on. It is those series of small looses due to a whipsawing
market timing signal that requires a special approach to managing
risk.
For me, the majority of whipsaw losses are in the 2% to 6% range,
but when these come in a series as they often do, it can easily add
up to a 20% or 30% draw down before the next sustained trend appears
to take one to a new equity curve high.
If the DD prospects are too high, one way to "tame" it is only put
half of one's capital into play with the method. That cuts the DD
down in half. It also cuts the profits in half. But hopefully the
other half of one's capital could be used in a different trading
method that does not have corelated DDs.
b
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