Hello Hanover,
I completely agree with you.
Your post will allow me to clarify. The increase in position size comes as equity increases, as it is calculated on a % of overall equity. When equity is increased, all trades will have the same position size. The optimal time we have found to adjust position size with our system is monthly. Adjusting daily or weekly diminishes our overall performance. For example MTD we are up 7% and it would greatly diminish performance over time if we adjusted position size 4 days into the trading month. We have ran the overall position sizing data for the last 20 years and found monthly to be optimal with our trading system, as we have a large enough sample size to allow the trades (edges) to play out in a 30 day window.
Adjusting size on each trade, or pyramiding with our system is deadly, and I wanted to make sure I clarified this.
Thank you for bringing this up, as I can clearly see now when looking at the earlier post, how it would be misinterpreted, as we did not provide enough information to backup the comment. The comment earlier was suggesting the danger behind doubling position size simply to recover from a short term drawdown.
Adam
MPC
I completely agree with you.
Your post will allow me to clarify. The increase in position size comes as equity increases, as it is calculated on a % of overall equity. When equity is increased, all trades will have the same position size. The optimal time we have found to adjust position size with our system is monthly. Adjusting daily or weekly diminishes our overall performance. For example MTD we are up 7% and it would greatly diminish performance over time if we adjusted position size 4 days into the trading month. We have ran the overall position sizing data for the last 20 years and found monthly to be optimal with our trading system, as we have a large enough sample size to allow the trades (edges) to play out in a 30 day window.
Adjusting size on each trade, or pyramiding with our system is deadly, and I wanted to make sure I clarified this.
Thank you for bringing this up, as I can clearly see now when looking at the earlier post, how it would be misinterpreted, as we did not provide enough information to backup the comment. The comment earlier was suggesting the danger behind doubling position size simply to recover from a short term drawdown.
Adam
MPC
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