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How many symbols did you test it on?
Are the profits and DD calculated in percent?
Did you use slippage?
Are the results optimized?
...
In a nutshell I would take the one with a thousand trades because it might
have a higher statistical probability to create similar results in future.
Regards,
Volker Knapp
(www.wealth-lab.com)
-----Ursprüngliche Nachricht-----
Von: Christian [mailto:cc22mm@xxxxxxxxx]
Gesendet: Thursday, November 03, 2005 9:34 PM
An: omega-list@xxxxxxxxxx
Betreff: Position Sizing question
Howday mates! :)
I have 2 strategies. Let's assume each of them is producing
the same results (Total net profit, Max Intraday drawdown...) on
the same period of time. The only difference is the # of trades,
(e.g. 1000 in the 1st one, 200 in the 2nd one).
Which one would you choose to obtain the best results applying
a position sizing method? (I mean, which one is likely to generate
the best equity curve?). Why?
TIA
Christian
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