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A position sizing question if I may:
When testing single MarketSystems with position sizing (using Fixed
Ratio and Tharp's %Volatility) I calculate the effect of applying
position sizing by the simple means of calculating the ratio of
[equity with position sizing /equity without position sizing], so if
a MarketSystem with position sizing applied returns a closed equity
twice the size of the same MarketSystem without position sizing then
the effect of applying position sizing is 2.0.
Given that means of evaluating the performance of position sizing on
a single MarketSystem, what sort of values would seem to be
reasonable? As an example I have some MarketSystems that return
position sizing effect values of 5.0 over a 10 year test period.
I also have MarketSystems that do much worse over much longer
periods, and if I go crazy with some curve-fitting I can get much
better returns over much shorter periods...
I would appreciate hearing from list members what sort of position
sizing effect values they have observed in testing or in trading.
TIA!
--
Best regards,
Ross mail to: Ross.Bond@xxxxxxxxxx
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