Acrary Money Management Question

Discussion in 'Risk Management' started by MustPlayOptions, Jun 11, 2006.

  1. Hello,

    I found this quote in a thread from Acrary:

    "I did lots of tests and earlier this year I created a formula that changes the size on each trade based on my equity curve and the level of drawdown I'm comfortable with. What I found was the total profits went way up, the profit factor dropped, and the sharpe ratio went well above 2. I've tested it on many models and I'm now using it with excellent results."

    I have been reading a lot of his old posts but have yet to find an explanation of this statement and it seemed to be passed over in the thread.

    Does anyone know what this formula might be?

    I'm asking the forum because the last post by Acrary was a goodbye post on 6-8-06 :(

    If you are still around Acrary then thank you very much for all of your posts and I would love to hear about this if you are comfortable sharing it.

    I'm currently struggling with trying to understand the whole risk/money management thing as a whole as I've explained in my other thread:

    So any replies are appreciated.

    Thanks in advance,
  2. Daal


    he risks less during drawdowns and more during good periods, that must be helping him mentally and because of it made him more profitable. you should create your own model to your own comfort level
  3. Hi and thanks for the reply.

    I'm actually trying to figure out my own model but there's always more to something than meets the eye and I've been impressed by the posts on this site and was hoping to learn more.

    Obviously it's easy enough to use fixed fractions or a fixed amount per trade, but based on my only tiny little strategy, it seems like it might be excessively conservative in some settings and in some setting it might be overly aggressive so I'm trying to understand how the various settings effect position sizes and actual risk to an account.

    If I was trying to limit max drawdown as Acrary suggests - then one way that seems easy enough to do is set you bankroll to you max drawdown and then position size to set your ROR at 1%.

    In my example in the other thread - if you had wanted a max 10% drawdown and your bankroll was 70k then your ROR for 7k is 1%.

    But I'm not sure if that's enough or if that's what Acrary is doing so I was curious how he and other approach it for those not doing solely fixed-fractions - or if fixed kelly fraction really is the best way to go.

    Thanks again,