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Mel

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Posts: 291

Joined: 12/30/2003
Location: Kensington

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Subject : RE: RTMs – A Significant Observation?
Posted : 1/30/2019 9:14 AM
Post #45970 - In reply to #45969

There is one way, the only one I have found, to control drawdonwn automatically for RTm and other systems that trade often. Dynamic position sizing reduces risk as the equity curve decreases, and increases it as it increases. By using a Monte Carlo Technique, one can choose a drawdown level and have a 95% chance of staying within that. Of course, when the market does well in the future, you don't make as much. When it is bad, you don't lose as much. This is the best statistical technique for preparing for future markets I have seen. Attaced is an old presentation of mine describing it.
Attached file : Dynamic Position Sizing.pdf (202KB - 2612 downloads)

Deleting message 45970 : RE: RTMs – A Significant Observation?


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