Matt B Veteran  Posts: 105 Joined: 10/11/2012 Location: Austin  User Profile | John, Thanks for bringing this up. I have been and continue to be a follower of Van's work on position sizing and highly recommend his book "Definitive Guide To Position Sizing". I would like to see a couple of his position sizing algorithms incorporated into the OT platform. His position that you achieve your financial goals through position sizing has merit. Along similar lines, I have always wanted to be able to institute the notion of R values for risk. Just trading a % of equity has never appealed to me, but I have done it with RTM7. I would much rather have a risk amount, which can be based on volatility, some ATR multiple that will be way out of the way but there in case of a huge black swan event. My testing has shown that 6-8 ATRs is out of the way but still provides some measure of disaster protection. Effectively, it hasn't been hit to date, only meaning that it will at some point so in essence, I am trading without stops. I like the idea of basing my returns in terms of R values. If I can get a 20R return one month and I am trading .5% of my account as my R value, then I know I made around 10% that month. I can also use it to calculate my system quality number and effectively compare systems to each other. Thanks for bringing this topic to the forefront. Matt | |
