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Experience (and experience comes from making mistakes, LOL) has taught me
that position sizing is a pretty dangerous thing to do. I have backtested
and backtested this and found that it inevitably leads to more severe
drawdowns on the intraday data.
You can look at it in another way: there is always an optimum place to enter
and exit the markets. When you know these optimum places why then start
entering at another place? Basically when you position size you are putting
on another (and totally differnt) trade with a less favourable win / lose
ratio. Far better to create another strategy that has little correlation
with the initial startegy that you use: e.g. combine a trend following
system with a counter trend system.
If you feel that position sizing is for you then my reply is: then you have
not much of a clue where to enter or exit the market and you better start
focussing on that.
Marinus
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