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:There is one aspect of money management (determining # of contracts to
:trade) that seems to be rarely, if ever, discussed. Let's say that you
:have a system that you wish to employ on a diversified group of market
:(10-15+). You've done your testing, and naturally you find that the system
:works significantly better on some markets than others.
:
:Do you adjust your money management formula to trade "good" markets more
:heavily that the "mediocre" ones?
I don't know, Peter. You're one of the more respected members of this list.
Perhaps you can tell us your thoughts on this.
I think adjusting the size of money over different markets would fall on the
asset allocation territory. I've always thought of money managment as
deciding when to exit a trade as well as determining the number of contracts
to trade. As for determing the number of contracts to trade, I've always
used the number of money allocated towards a tradeable security divided by
the sum of the margin requirement and the likely drawdown as determined by a
Monte Carlo Simulation.
But then, looking back at the question, if you have 15 markets and your
system works well on only 5, why not just use it on the 5? If the 5 are not
correlated or just slightly, would that give you the diversity you need?
I like this thread. Anyone care to continue?
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