There is a paper about this here:
How do you control your maximum loss trading a position which is 100 times larger? What would this loss be if markets dropped/increased by 20% on...
Make some trading rules, backtest them, and then stick to them!
If you find many uncorrelated assets, it makes sense to use an approach like the "most diversified portfolio":...
Systematic is easier to backtest. This is important to evaluate risk.
Thanks for the info.
This is for ES options, right? What about FX options?
Does anyone know why CME has stopped listing FX and ES monthly serial options (Jan, Feb, Apr, May, Jul, Aug, Oct, Nov)?
Separate names with a comma.