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Over the last year or so, my system (for dax options) more and more
concentrates on short positions, and even if the results in terms of
wins & losses are quite satisfactory, the overall result is not what
it could be, because most of my short positions are too small, when i
look at them afterwards. So my question is, how to improve my money
management _for short_ positions ...
Presently, I calculate the number of contracts to buy/sell from the
probability distribution of the history of my system for the past five
years, following the "optimal f" approach. Even if this works rather
fine for long positions, the number of contracts for short positions
is too small (for winning trades), because the "real investment",
which should be the relevant basis for MM here, can be calculated only
afterwards, when the short position is closed.
How can this "dilemma" be solved appropriately? - Any hint?
mfg rudolf stricker
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