Here is an excellent presentation by Charles LeBeau *Exit Strategies*. You might want to check other works on the ATR type of money management. Good luck.
Let's see, page 37 is talking about ratio-adjusted RAD data. Is that what we are discussing? I was confused when I first read about the RAD data because it seems to me this would not preserve accurate trade P&L for trades that span rollovers. But then I think the point is to only use RAD data with percent performance statistics. It could be there is also a flaw in using RAD data with percent performance statistics, but if so I am not aware of what the flaw is. I have not attempted ot study this. If you have insight I would be interested. The person who got me started reading Stridsman says that he uses RAD data and percent statistics only for testing trading rules systems for entry and exit, both for individual market system and combined portfolio testing. It is a way to isolate that part of strategy research without adding the effect of applying money management. But when applying money management, he switches to point based performance statistics because the money management then does weight adjustment, which is an alternative solution to the weight adjustment problems that leads Stridsman to recommend percent based statistics. I believe when switching to point based statistics you must also switch to point based back adjusted data. I believe that Stridsman indirectly says this on page 290 when he says "remember from Part 1 that we learned we cannot make any percentage-based calculations on the point-based back-adjusted contract and no dollar-based calculations on the RAD contract". However, Stridsman doesn't seem to say (in what I have read so far) what the person who got me started reading the book decided, which is to switch to point based statistics when applying money management. Rather he goes into a spreadsheet using the unadjusted time series, at which point I lost interest because I have not figured out yet from what I have read so far why instead not just switch to point based statistics for money management testing. He explains it as having to do with percent based exit techniques and I have not read that part of the book yet. Is this your concern about page 37? Does what I say above help? I am interested in this topic and any insight anyone could provide. As to the first paragraph of page 80 about not subtracting slippage and commission when building a system, I didn't quite get that one either. I don't get his logic for excluding slippage and commission from the early testing (but have not studied it in detail either... I am still reading the book). However, I do assume that as you progress into the real strategy testing on portfolios with money management applied that you then add in slippage and commission. So, this is only a step in systems development, not the final testing. The way the book is based upon TradeStation and Excel? That doesn't bother me. It is a book, not a software product. Writing it starting from a single market backtester and Excel is the lowest common denominator. Let the software vendors then come out with products to better automate the ideas. Case in point, a PowerST customer set up the Excel spreadsheets for percent statistics, then translated it all into native PowerST performance statistics so he can now get percent statistics for individual market systems and portfolios with a single mouse click. This is what recently got me into reading the Stridsman book, that I am trying to decide to what extent I want to adopt this customer's work into the standard PowerST product. My point is that the lowest common denominator approach in the book does explain the concepts in a generic way, and automation is then a software issue. Like I said in a previous post, the book is not easy going either in reading or following the suggestions. One thing I do fault the book for is the long TradeStation code listings and long lists of Excel formulas, which makes it hard for me to read since I am not interested in TradeStation / Excel. I would prefer if the book had more emphasized the results. I am more interested in the concepts than the code. A web site could be set up for the code and Excel spreadsheets for anyone interested. The book expresses a lot of opinions. It is an advanced book, and a bold book to express so many opinions. I may not agree with every solution he presents, but I do agree with the issues he raises. I think he is bringing up valid issues. I think that the basic point Stridsman is making is valid. In a market like S&P that has had a large historical price rise, you can't just look at point based performance statistics because the later trades will drown out the earlier trades. So, he presents percent based performance statistics on RAD data as a solution. IMO another solution is to run historical tests with a money management strategy that does weight adjustment. Also, to repeat my first post on this subject, I think his discussion about fixed fractional money management is very good.
I do not know of any books on money management, position sizing, etc ideas for practical application for traders that I consider adequate. I find using trade simulation software to be useful for learning what money management rules and position sizing rules might be compatible with my losing streak tolerance.