Increase profit factor by increasing bet size?

Discussion in 'Risk Management' started by logic_man, Apr 2, 2011.

  1. While not specifically regarding Kelly: I think you get the best, i.e. most accurate or "honest", PF and general system test if you test without compounding. I always test two base scenarios all the time: fixed position size (e.g. 100 shares, 1 contact), and volatility scaled position size.

    I don't like compounding as it very much can be dependent on start date of your simulation.
     
    #11     Jul 2, 2013