If anybody is interested in seeing the code I can post it with the disclaimer that it hasn't been tested in live trading.
Before Position Sizing with Static Stops
After Position Sizing with Dynamic StopsThursday, July 16, 2009
Volatility Based Position Sizing
I just finished coding a volatility based position sizing algorithm and the results are pretty dramatic. My hypothesis was that it would transform my system's equity curve into more of a straight line and that's exactly what it did, smoothing the results over time. When conditions are more volatile a wider stop is used and less shares are purchased. Less volatile means a tighter stop and more shares, so smaller moves are capitalized on.
If anybody is interested in seeing the code I can post it with the disclaimer that it hasn't been tested in live trading.
Before Position Sizing with Static Stops
After Position Sizing with Dynamic Stops
If anybody is interested in seeing the code I can post it with the disclaimer that it hasn't been tested in live trading.
Before Position Sizing with Static StopsAfter Position Sizing with Dynamic Stops
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2 comments:
Hi Rick,
Just found your blog today.
I would be interested to see the code if you would like to post or email me?
Many Thanks
Higher volatility means greater risk, and it can wreak havoc on trading strategies that don’t adapt. As the markets became more volatile in recent months, many traders increased both their stops and profit targets. But such adjustments are meaningless without addressing position size.
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Forexyard
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