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Re: Portfolio Trading and trade allocations



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MB wrote:
> I take the maximum system drawdown then I make that my percentage
> drawdown that I can endure and figure up from there.

I've started taking an additional step, at least for the SP. For
historical testing *only*, I tell it to trade more contracts in the past
when volatility was lower. I use xx/xaverage(truerange,300) for daily
data but other formulas work too. What that does is put historical
drawdowns in "today's dollars." So, a big percent drawdown 10 years ago
doesn't get lost due to the fact that the price was so much lower.

-- 
   Dennis