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>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?
Not enough information. You can get simlar net profit and intraday
drawdown but have different win/loss ratios. You need to now the number
of winning trades and losing trades, as well as the average win and
loss.
Here is an expresson for expectancy:
E = (AW * PW + AL * PL) / |AL|
where AW=average win, PW=probability of win (0<=PW<=1), AL=average loss
(negative number), and PL=probability of loss (0<=PL<=1).
If the result of the formula above is the same for both systems,
then the better one to pick is the one that generates more trades,
because it gives you more opportunities to achieve the expected
returns.
--
,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
// +__> Director of Research and Development
// \ Unicorn Research Corporation -- http://unicorn.us.com
// __) HTML FORMATTED MAIL SENT HERE WILL BE REJECTED AS SPAM.
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