|
PureBytes Links
Trading Reference Links
|
Rudolf:
Perhaps you could explain in a little more detail how you compute
your position size -- maybe with an example. Since Optimal f
bases position size on maximum loss, rather than "real investment"
(is that another term for cost?), I'm having difficulty envisioning
your problem.
----- Original Message -----
From: "rudolf stricker" <lists@xxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Tuesday, September 04, 2001 9:44 AM
Subject: MMgmnt for short positions - how?
> 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
> | Disclaimer: The views of this user are strictly his own.
|