|
PureBytes Links
Trading Reference Links
|
Having done a great deal of backtesting, the simple answer appears to be
that scaling out will reduce overall net profit (but not always by a large
amount), whilst reducing drawdown and sometimes significantly increasing %
winners. This can make a system a lot easier to trade, so may be a very
worthwhile trade-off. However, the only way to correctly apply position
sizing as far as I can see is to treat the system - if it scales out three
times for example - as three different systems. Then you might discover that
the system with the largest profit target / exit has the best expectancy, so
you might reconsider your whole approach.
It happened to me...
J.
-----Original Message-----
From: Timothy Morge [mailto:timothymorge@xxxxxxxxxxxxx]
Sent: 28 July 2007 21:48
To: omega-list@xxxxxxxxxx
Subject: Bet sizing question: Scaling
Good evening.
On my forum [http://www.marketgeometry.com], the
question was asked if scaling out of positions makes
more money than setting a fixed target and exiting all
of a position at the maximum target [assuming price
gets to the maximum target].
I KNOW there was quite a spirited debate on this forum
several or more years ago and a few people even
presented 'papers' or elegant write-ups on the
subject.
Would any of you care to share your opinions and or
statistical proofs?
Thanks in advance.
Tim Morge
15:50
|