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Optimizing the position size parameter is *precisely not* for
gamblers, but for professionals or serious amatuers. In general,
market timing is more important than selecting the markets
appropriately. If one is not able to time the market accurately, then
the resulting volatility may very well blow their account. Hence, the
common mis-conception that taking unusual leverage has resulted in
losses, but in reality it is market-timing that is way off. This is
the dirty little secret about those so called professional sheeps in
wolfs clothing.
If one is not able to time the markets accurately, then one is better
off in not optimizing the position size parameter, and probably better
off in some other profession where there is minimal risk and leave the
multi-million dollar accounts alone. Otherwise, the resulting optimal
position size (not optimal f), even reduced by MCS simulation, may
very well blow their account to thy kingdom come.
I do agree here with Ralph Vince here, that for those profesionals or
serious amatuers, if they are not playing for optimal profits, they
belong in an insane assylum. I also agree with Ken Calhoun, that to
lose money because a trader is ignorant of his system's best
parameters is foolish. Again, if my beliefs cause shock in others, my
sincere apologies...
rgds, Pal
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